The TPMS... which is the air sensor for the tires, is inside the tire. It is what the valve stem connects to. You can have them removed from your stock wheels and put on your aftermarket wheels, or you can buy a new set of TPMS sensors for the new wheels from the dealer. The downer is they aren't cheap. Something like $150-$200 for a set of 4.
I chose not to put sensors in my aftermarket wheels. Sure, the idiot light stays on in the dash, but I don't mind. I use my stock wheels for winter driving, so after I throw them back on, the idiot light goes out after about 40-50 miles of driving.