McTurtle, you're half correct:
ePSXe does not support steering wheel (as of 1.2.0).
bleem! DOES support steering wheel. The steering wheel format is called NegCon. You can read more at http://www.joy-stick.net/ps/articles/psxmodes.htm
I had a tiny problem but fixed it myself:
To be honest with you, it's still not quite as good as a PC game, in terms of steering accuracy, but it's tolerable.
Only one problem remains: bleem! does work for GT2
But hopefully ePSXe will support the controller plugin, now with all the fuss about Cyberpad.
BTW I'd really like to get one of those plugins you talked about. So far the ONLY such plugin I know is the Segu DirectPad Pro plugin, which only works for the DirectPad Pro.
Hope this clears up some confusion.