Any wheel refinishing shop could take care of this problem. If the rims are unpainted, machined alloy, I suppose you could try sanding them in a rough, to fine grit process, but it might be a bit over your head and very time consuming. And this might get you a different finish than what you wanted, or not even work very well at all. Don't use a rough sponge in the future. A lightly bristled wheel brush and some wheel and tire cleaner go a long way. Takes the brake dust off like butter on my Mazda, which is notorious for having really bad brake dust.
