Usually you want a coarser wheel for roughing the tool shape and a finer wheel for polishing the edge. As Peter says, dressing often will keep the wheels cutting.
Be aware that if you want to replace a wheel that the mandrel has RH threads on one side and LH threads on the other.
A new wheel should be "ring tested" before installation. Suspend the wheel on one finger through the hole and tap the side of the wheel lightly with a wooden stock or the handle of a hammer. The wheel should give off a ringing sound. A dull sound indicates a crack, and the wheel should be discarded. Cracked wheels can explode when spun up. Also, if the paper label is missing on either side, make a substitute from thick paper before installation, as this keeps the pressure from the grinder mandrel even.