Every shape you create is a vector until it is rasterized. The pen tool can create vector objects as well. The pen tool is great if you haven't used it before. Think of it as a selection tool where you can easily modify the selction areas, not just transform the selection. Similar to the quick mask mode. Create the path, tweak it, then load the path as a selection.
I have to agree though, it is much easier to swipe wheels from other cars and actual photographs, but doing it yourself makes it that much more original...
Kale