Removing the wheel, I undo everything but the axle nuts (i.e. drum brake or hub gear cables, opening rim brakes, whatever) and then hold the wheel while I remove the skewer. If it's a nutted axle I loosen one axle nut, and then hold the wheel as I undo the second one.

Refitting the wheel, I normally end up holding the wheel in place with one hand while tightening the skewer or axle nuts with the other. I also make sure to loosen the skewer or axle nuts again once the bike is on the ground on its wheels, if it's got vertical dropouts. I then allow the weight of the bike to seat the axle properly in the dropouts before tightening the wheel back up. I also do this for most front wheels.