I have a book called The Steering Wheel Restoration Handbook by Jack Turpin.
He suggests you use a PC7 epoxy putty. Here is a summary of his method from his book:
A. Saw out the random cracks to the metal core.
B. Bevel, clean, and pack with mixed epoxy putty PC7.
C. Wet your finger with lacquer thinner and smooth out the epoxy as best you can, leaving it a little high. For the most part you can shape and smooth almost to the final configuration as the epoxy material sets very slowly. Lacquer thinner is very flammable so be careful around open flames.
D. Allow to cure for several days.
E. File and sand to smooth finish.
F. You are now ready to prime and paint your steering wheel.
He says the PC7 can be found at good hardware stores and it is definitely available online. He recommends it for its hardness and non-shrinkage and because it is workable and has a long open time. Just be sure to mix it extremely thoroughly and then mix some more.
This book is out of print but you can find used copies and I recommend it. There is much more detail in the book.
Post pics of your wheel as you work on it. I think everyone's wheel is probably cracked and split.