Most of the armor modelers in this forum are familiar with Shep Paine's books and pamphlets on building tanks and dioramas. Some of the tips he offers:
1) Nobody likes doing the road wheels. It's invariably boring, repetitive work, but it's the literal foundation of every build in this niche of the hobby. Do these first so that you can enjoy the rest of the build in relative peace.
2) Use a file. Your knife will only take you so far when it comes to removing excess materials - on a curved surface like the wheels, it's easy to unintentionally carve flat spots or to put irregular cuts along the edges if you're not careful. A file (used properly) both removes the extra material and smooths the surface while it cuts. When satisfied that everything is in round and uniform in size and shape, a light touch with sanding sticks polish the plastic up nicely for primer and paint. An added benefit is that it eliminates the 'nub marks' you mention that need to be disguised.
3) Shep does include an illustration of using a Dremel and an emery board to machine down a road wheel, but I found out the hard way that there was some fine print involved. Shep's Dremel was set up with a controller which allowed him to fine tune the speed of the tool, allowing him to go even slower than the tool normally allows. Even at setting number one (the slowest available without a speed controller), my Dremel spins fast enough to melt plastic, rather than smoothly sanding it away.
Nothing is mentioned about the fact that there are limited sizes of mandrels available to mount the wheels in the tool in the first place, so the idea really only works if you have a hub in the wheel that will fit your set-up, otherwise it's another shopping trip to find stuff that will fit with each new kit you buy.
Some wheels have bolts on their faces, which are easy to ding up while you mount the wheels on the mandrel with assorted screws and washers, so lend things a little extra thought when you go this route. It's a deceptively easy idea at first glance, but it has its own unique set of challenges and expenses to consider.
If you're still relatively new to it all, my advice is to concentrate on the basics. It's not a job, it's a hobby, so quit staring at the clock. Take the time and make the effort to go one piece at a time until the job is done. Worry about getting rid of the attachment nubs instead of disguising them, take pains to keep the wheel round, and treat each individual piece as if it were a model of its own. Do it enough times and it becomes second nature.