There are two nuts for each wheel. The outer, acorn nut has a left-handed thread, so you turn it clockwise to remove it. The larger, inner nut is a normal thread, so it will remove in the counter-clockwise direction.
With the nuts removed, the wheel will slide off the axle. It may take some effort, as a tight fit protects everything and makes it last longer. There is a rectangular metal 'key' that connects the wheel to the axle, and it will likely fall when you remove the wheel. Set it aside in a place where you will find it later, as the trike will not work without it.
To install the wheel, place the key in its slot on the axle, then slide the wheel on. Tighten both nuts down and you're ready to ride.