When I bought my car, it had padded leather steering wheel cover. I peeled it back to make sure it was in good shape but then left it on. I figured I would take it off when I got home. After 27 hours in the car, I decided I liked it, and it is still on there.
A cover would definitely be a cheaper route to go. If you decide to go with the new wheel, make sure you have a reader that can take care of any airbag warning lights if encountered.