Foam can be cut and adhered to the outside of a 3D printed hub using CA glue to create shock absorbent wheels.
The inner diameter of the foam wheel should be under sized so that it creates a good pressure fit with the hub.
Large surface area helps to retain the wheel to the hub. The larger, the inner diameter and the wider the wheel, the more surface area for the glue to adhere to.
A good foam for insect weight robots is 2 lb cross-linked polyethylene.