Yes.
I just pulled a half dozen coaches out of storage and cleaned all the wheels before they went on the layout. There was a mix of metal and plastic wheels and most of them had some gunk.
No matter what you do, all wheels will pick up dirt. The plastic ones hold it better, but it still spreads to the metal ones. Even loco wheels pick it up, and you can tell when the locos start to sputter down the track.
To ride my hobbyhorse, You get more gunk in an unfinished room (especially a basement with an open ceiling) and in a house where someone smokes. I've operated in a house with one smoker (the MRR) and we often had to clean loco wheels a second time in the middle of a session.