If you ever had dismantled an old printer you should know there is interesting material inside it... if you never did that so it's time to begin ;-)
Step 1: Wheels invasion
The small plastic wheels you see in the picture come from a pair of printers. If you're luck you'll find wheels already with a good anti-slide rubber band, but in some cases they lack it. Anyway you can build easily by yourself a nice tire to make the wheels work better on your robots. To do that you'll need a small package of Sugru, this should be enough for a pair of "tires".
Step 2: The belt
After choosing the color you like more, cut in half your sugru mass, and rolling it over a flat surface transform it into a long thin cylinder, measure it to reach the length equal to wheel diameter.
Now wrap it around the wheel and push it with your fingers so it will stick on the surface. You have to cover all the external surface with that quantity of sugru, maybe it will not be enough to coming out from the protrusion on the border, but don't worry about that.
Step 3: The engraving
When the sugru is all around the wheel, make it rolling on a damp towel or something soft as a sponge, so it will remove your fingerprints and any irregularity.
Now we need to find a way to make the sugru hanging out to reach the ground, because in this status the protrusions will make the wheel slipping. You need something similar to the little cogwheel you see in the picture. Maybe you'll find something equally effective. Make the cog roll over the sugru and at the same time push it so it will engrave lot of slots in the soft material. In this way the Sugru must rise up and occupy a greater volume, protruding over the borders.
Step 4: The exception to Murphy law
When you have done with the first wheel wrap the next one, flatten it, dampen it, engrave it, and miraculously it will come out much better than the first one! This principle is the only one going against the Murphy law...
Step 5: Use your imagination!
Now you've finished the first two wheels for your robot... yes, there is still a lot to do to make it like a robot... but you're patient, aren't you? ;-)