Yes, the wheels will have side-to-side wobble just from the various low tolerances of each component. Here's some links with good info on how to shim & align your wheels to reduce the wobble.
http://www.geigerssolutions.com/Tuning-Up-a-Bench-Grinder.html
http://www.highlandwoodworking.com/library/Achieving-Balance-Grinding-Wheel.pdf
http://www.ptreeusa.com/PDF/grinding_wheel_instructions.pdf
A note from my personal experience. First, when loosening & tightening the nut, ALWAYS have the wheel in the same orientation. I like to have the text across the top, or at the very least make a mark to denote UP. Next I usually will try turning the outer flange 1/4 of a turn and re-tighten (just finger tight) and give the wheel a spin. I try all 4 orientations to figure out which has the least wobble.
You will notice the arbors have a little play on the shaft, that's why I always keep the wheel the same orientation when tightening, trying to eliminate as many variables as possible. Try to always let the arbor sit the same way when you tighten, if it's noticeably out of center, try to center it by hand when finger-tightening.
From there I will spin the wheel (by hand) and just hold a pencil close till it start to rub. If it's a light color wheel sometimes I will just mark on the outer edge of the stone, if the blotter is big enough with free space I will mark on the blotter. This lets you know the high point (which would be half-way / the center of the line you made).
Then I use a couple stickers (or a piece of tape as some articles suggest) and shim both the inner & outer flange. The inner flange will be 180 degrees (obviously), what I do is hold everything tight and rotate the wheel so shimming the outer flange would be from facing the rear, then I can shim the inside with a pair of needle-nose pliers since it's facing towards the front. Be careful not to rotate the arbors or wheels independent of everything else or you will just be chasing your tail aligning it all over again.
Sandwich the arbors & wheel together, rotate back to your UP mark, and tighten and give it a spin and see how much wobble was reduced. Sometimes you might have to add additional shims, or even adjust their location. But with some patience & luck you can get it dialed in pretty darn good.
Also don't over-tighten the nut! The threads are different directions so as it is under power they will keep snug. Cranking down on the nut will just warp the arbor, over-compress / smash the blotter, or worst case crack the wheel.