In X3, if a soft synth is capable of sending MIDI data, the option is enabled by default. The option is selectable in the Insert Soft Synth dialog as Craig points out. It may also be toggled by right-clicking on the synth on the synth rack.
One way to record pitch wheel data would be to automate the MIDI wheel parameter. On the MIDI track use an automation lane to select MIDI.... From the MIDI envelop dialog select Wheel from the Type drop down. Enable Write automation and click on the automation fader and use the mouse wheel or drag the fader while playing the track back.