The expatriate Chicago saxophonist returns to his old hunting grounds for two gigs sandwiched around Thanksgiving--and isn't it about time? When Wheeler moved to Paris a couple years ago, he left a noticeable hole in the local scene: relatively few musicians communicate the sense of committed urgency that distinguishes Wheeler's best efforts. He often plays as if he had been thinking about nothing but the music since the last time he held the horn; he plays as if he has to, not wants to. Consequently, his notiest improvisations avoid the lightness of purpose that damns so many merely facile players. "Facile" is not a word that comes up often when discussing Wheeler: lots of saxists make it sound easy, but Wheeler is too busy probing the innards of a given composition to worry about whether some of the seams show. His tone, especially on tenor, reveals the work he's put in on it too: it's layered and versatile, and an appealing throwback to the tough-and-tender expressiveness of the saxists who passed through the Miles Davis bands (Coltrane, Shorter, and especially Hank Mobley). Wheeler plays this week in an excellent quartet of his own--pianist Jim Trompeter, bassist Dan Anderson, and the powerhouse drummer Paul Wertico (of the Pat Metheny Group). Next week he joins the Green Mill All-Stars, allowing him to spar with fellow saxist Edward Petersen. Tonight and Saturday, Oz, 2917 N. Sheffield; 975-8 100. Next Friday, November 29, Green Mill, 4802 N. Broadway; 878-5552.