Propulsion at the microscale requires unique strategies such as the undulating or rotating filaments that microorganisms have evolved to swim. These features however can be difficult to artificially replicate and control, limiting the ability to actuate and direct engineered microdevices to targeted locations within practical timeframes. An alternative propulsion strategy to swimming is rolling. Here we report that low-strength magnetic fields can reversibly assemble wheel-shaped devices in situ from individual colloidal building blocks and also drive, rotate and direct them along surfaces at velocities faster than most other microscale propulsion schemes. By varying spin frequency and angle relative to the surface, we demonstrate that microwheels can be directed rapidly and precisely along user-defined paths. Such in situ assembly of readily modified colloidal devices capable of targeted movements provides a practical transport and delivery tool for microscale applications, especially those in complex or tortuous geometries.