To change your weapon you will need to be in a location that is away from the main locker area. To change weapons you will need to press and hold the A/X button and hover over the weapon on the weapon wheel with your pointer. You will then need to release the A/X button while the pointer is on the weapon you want to select. To select the second weapon wheel page you will need to hold A/X then press the trigger button on the controller you are using to open the wheel. The knife is not on the weapon wheel and you will need to hold both the grip and trigger button at the same time to summon it.
You may also customize your weapon wheel loadout by going to your Locker and clicking on 'Loadout'.