yeah, i have balanced them... many times. The whole situation is kind of a disaster. I had some new goodyear triple treads on the OEM wheels which drove like it was on rails. this winter I decided to pick up some steel wheels and some blizzacks as i was planning on skiing the mountains a number of times. The steel wheels and blizzacks drove okay... pretty smooth but not like butter, but it was what I expected from winter tires.
Anyways, I enjoyed the look so much that when it was time to move to the all seasons, i decided to swap the all seasons to the steel wheels. As soon as I did it, the freeway ride was shaky at the wheel. I had them rebalanced again, and the same result. I took them back again, and the manager re-calibrated the machine right before and balanced them himself. I admit it got better, but nowhere near the OEM wheels. i remember the OEM wheels with the same tires were like driving a brand new car previously. it is completely driveable, but nowhere near where it was at.
I started googling a bit, and found that people have had the same issue with a wheel that was not hub centered but rather lug centered... and solved it with a hubcentric ring. after more searching this afternoon I noted that steel wheels apparently do not accept the hubcentric rings (although I have not tried it). so, I decided to jack the car up and re-torque the wheels slowly using the star method with the wheel off the ground (and foot on brake with a helper). this is opposed to seating the wheel and then lowering the car to torque on the ground. I figured my genius new method would solve the problem. Answer was no, they are still not smooth on the highway.

so, I think I am going to blow another $120 to have them changed back to the OEM wheels.