The problem, as I understand it, is axles. There's no way for a living creature to have an axle as part of its body - it would need blood vessels and nerves, both of which would be twisted by spinning. And if the axle is nonliving (say some kind of secretion, or keratinous growth) it wouldn't be able to form complex shapes, and would be rather brittle. To say nothing of how painful the spinning would be, with all the creature's weight on it.
Your point about finding a wheel is an interesting twist - you could imagine a creature that runs around the inside of a free wheel, like one of those hamster balls. You might even posit that the wheels are picked up, hermit-crab-like, from another species (presumably molluscoid) that happens to grow in that shape. The problem there would be coasting - if the creature stopped running, they'd be carried back along the wheel until they fell off or their weight brought it to a halt.
In theory, you could have a wheel in two sections, an inner and outer ring, linked by ratchets - it would spin freely in one direction but not the other, so you could run around the inner ring to get the outer one up to speed, then sit back and let it ratchet down. I have to imagine it wouldn't be all that efficient, mechanically, and it would be very fragile because of all the fine teeth.
There's always the hoop snake, of course, which (mythically - it's not a real beast) curls itself into a loop and rolls downhill. But one feels that's cheating somehow... and it wouldn't work, of course.
Sadly, I think in terms of pure efficiency, walking has rolling beat for animals.