Tanks need special treatment because they are a combination of .cga and .chr files. For general information about vehicle setup, please refer to Vehicle System.
Place the wheel object in the correct position. Place the wheel's pivot in the correct position (the image above shows the top view in 3ds Max on the left, Maya on the right).
Type Wheel in the objects properties/UDP section (see StatCGFPhysicalize.cpp). This will refine the proxy into a cylinder shape, best optimized for this type of use. The wheel proxy must be simple enough to be recognized as a cylinder by physics.
Both wheels have the same proxy. The wheel on the right uses the "wheel" UDP flag.
Make sure your wheel proxy is attached as an element and not as a child of the mesh, otherwise you'll likely run into issues when exporting the skinned tread CHRs.
The treads must be exported as a CHR one at a time, as they have different skeletons and will conflict on export.
For more information please see the Vehicle Editor article.