I think in general an equivalent sized aluminum alloy wheel would be lighter than a stamped steel wheel. It all depends on design. There are some elaborately designed, ultra-light aluminum wheels.
and forge than steel. I guess that's why most steel wheels are stamped. I suppose it might be possible to make some super lightweight forged steel wheel, but who would go through the effort when aluminum is easier to work and frankly looks better?
Aluminum definitely conducts heat better than steel. Stainless steel pots typically have a copper bottom or an aluminum disk to improve heat flow.
There's also how well the wheels cool the brakes. Most steel wheels are stamped and cool with stamped holes. Aluminum wheels are either very open to the air or otherwise channel air to the brakes.