Thank you for your advice it was very helpful. I have managed to ship the wheels from UK to Portugal, and here is my experience.
After contacting a few major carriers (TNT, DHL, UPS, FedEx...), it soon became apparent that the best way would be to order through a retailer like the suggested Shipply.com. There are several of these, and most offer online simulators to check the shipping costs with several logistic companies. Online reviews of these companies are very misleading as people tend to give feedback only when something goes wrong. I ended up choosing p4d.co.uk for being a small company with real people behind (no anonymous call centre), and having very good deals with TNT. There is a TNT distribution site where I live, so TNT was my preferred carrier.
Initially I intended to just ship a set of 17 inch wheels. To ship them safely I would need to get large enough boxes and bubble wrap to protect them. I got these from an online office store called boxesandbubbles.co.uk .
Later I decided to also ship 4 tires. As these were already detached from the wheels, and the wheels were already packed, they had to come separately. Tires do not need to be packed in boxes, but they are required to be covered. The easiest way if plastic film is not available, is to wrap them with plastic trash bags.
After having everything ready I booked the collection from P4D website. TNT requires that the collection is done from a business address. The previous owner then took the wheels and the tires back to the local tire shop and they kindly kept them until TNT collection. A few days later they were delivered at my door.
Unfortunately the story does not end here. The TNT driver who collected the wheels in UK thought that the tires were not included in the transport and refused to receive them. After some emails with P4D the error was acknowledged and a new collection for the tires was booked. One week later the tires were safely in my garage.