For Kettle loss, I just dump in buckets post-boil with a sanitized paint strainer and then squeeze the liquid out into the fermenter (with sanitized hands). The only AG wheat beer I've done took a huge eff hit. I think it's because wheat (and rye?) is smaller than barley, so it doesn't get crushed as finely with the same setting. If I do another wheat or rye beer, I might mill that bit separately and tighten my mill down beforehand, then re-adjust for the barley.