Test the axle by inserting it through a wheel and spinning the wheel with your finger. The wheel should spin smoothly and slow down very gradually. You should remove these irregularities, and then carefully sand any remaining roughness with emery paper. Metal polish can restore the glossy finish to your wheels. This can be a big help in removing fine irregularities, but be careful not to reshape or damage your wheels.
Various lubricants are available from hobby shops.
Some liquid lubricants can get sticky though, so test them before using them on your car. Some derbies restrict which lubricants you can use, so check your derby's rules. I've found that the best way to lubricate the wheels is to apply the lubricant to the inside of the wheel hub first. Once the wheel is lubricated, insert the axle through the hub and mount the it on the car. If the wheel is mounted first, it's very difficult to get lubricant between the wheel and the axle.