Land Sailing is a thing in the real world. You might want to take a look at how some of those vehicles are built.
It's not a perfect analog for your situation, though, since actual sand yachts tend to a) be small, one or two-person vehicles, and b) be designed for running on smooth, flat surfaces- not soft desert dunes.
If they are looking for speed, note that sailing vessels can actually move faster at a steep angle to the wind than they can running directly with the wind. This may or may not be relevant depending on the advancement of these people's sailing technology, however.
These vessels are going to have to overcome two major challenges around which they will be designed: minimizing friction, and avoiding sinking into soft sand.
To minimize friction, none of them will want to let their hulls touch the sand at all. Pushing through sand just isn't practical, so all of these, not just the giant windjammers, will be running on wheels. Even advanced real-world racing sailboats try not merely to streamline their hulls, but to actually avoid contact with the water at all where possible, using hydrofoils to lift the hull completely out of the water at high speeds. The trimaran design thus actually makes a lot of sense, since you can angle the struts to lift the main hull relatively far above the surface, with wheels mounted on the secondary hulls.
You'll also want to minimize friction of the wheel bearings. I don't know if it would be absolutely necessary, but contrary to a comment on the question, ball bearings are not entirely out of reach. Modern, high-efficiency metal ball bearings would be impractical, but a pre-industrial civilization that can build land ships in the first place would easily be able to produce wooden ball bearings, potentially even with metal races. Larger wheels, which do not have to turn as quickly, may be desirable to reduce the friction load on bearings.
To avoid sinking into the sand, you'll want to maximize the load-bearing surface. Note that this is in conflict with the desire to minimize friction. Once again, however, the multi-hull design shows promise, since with wheels on two auxiliary hulls you can spread the weight out over a wide area. The major design impact here, however, will be on the design of the wheels themselves; specifically, you'll want wide wheels. If they can produce flexible rims somehow, that would certainly help, although I'm not sure how you'd manage that without modern air-filled tires. So, large and broad is good, but "like a watermill" is not so good, if that includes the gaps and paddles that are meant to bite into water/sand.
Rather than having a rudder, like any other wheeled vehicles these are going to need to be able to rotate (some of) the wheels for steering. For the big windjammers, I'd expect some kind of massive bar-and-pinion arrangement linking either the two front or two back wheels, assuming there are four wheels total- you won't want to steer all four wheels, because that introduces unnecessary complication. Six or eight wheels might be better, in which case you would want to steer both the front and back sets; although this requires more steerable wheelmounts, each one can be weaker, since it's carrying less of the total load. Steering control would be accomplished with a capstan that has a rope, or several ropes, wound around several times to ensure proper friction engagement with the wheel, and with the free ends lashed to the steering bar.
Arranging to mechanically coordinate the wheels on different hulls of a trimaran would be overly complicated, since you'd want the tie-bar to be angled up and built in sections, rather that passing under the main hull and potentially hitting sand. Since these are intended for maneuverability, you can simplify the design by simply requiring a separate "driver" for each steerable wheel (or pair on a single hull), and relying on extensive training to ensure they all remain synchronized. If you have, e.g., 8 steerable wheels, two on the front and back of each secondary hull, with four "drivers", then you can pull off very sharp turns, drifts, and strafes fairly easily. Steering in this case could be simplified, since each "driver" does not need to shift nearly as much mass, and could involve a simple handle attached to the tie rod, but a capstan or vertical steering wheel arrangement with rope attachments would provide significant advantages in terms of mechanical advantage and stability.
On the trimaran, it may make sense to have barrel-roller wheels centered underneath the secondary hulls, so they don't get stuck if they high-center on a dune or something. These would be intended to remain off the ground most of the time, to minimize friction.