It will take a while to get used to it so don't be in too much of a hurry for results, just enjoy the drive. I'm still less than fully used to mine and I simply upgraded from an older, cheaper wheel.
In my case(80GB Fat) I've found that if I turn the PS3 on with the wheel plugged in but not turned on, it doesn't recognize it correctly when I do turn on the wheel. If something like this happens to you, it's not necessary to turn the PS3 off to fix it, just unplug the USB, turn it on, and then plug the USB in. As long as the PS3 stays on you can turn the wheel off and on and it should work without issue.
Now if only I could always remember to turn it off when I'm done...