If this is your first all grain attempt, I would really recommend doing a couple of recipes with 100% malted barley before embarking on anything exotic. Most all-grain brewers will go through their life without ever doing a cereal mash, or trying to malt their own grains.
In addition to the "cereal mash" issue mentioned above, remember that wheat is used sparingly in recipes, so you don't need a lot of wheat. Here are some extra considerations
- you would still need to use malted barley in the recipe, German Wheat Beers use, at most, 70% malted wheat, I suspect that they won't go any further because of lautering challenges, but also that the taste of the end-product will be too tart.
- the only recipes that I've seen which use unmalted wheat are Belgian Wit beers. Usually the wheat has been processed somewhat (torrified or flaked). Unmalted wheat is at most 5% of the recipe, if it is used at all. Some recipes only use a spoon of wheat flour as their "unmalted wheat" ingredient. Wheat (malted and unmalted) would compose up to 40% of the recipe.
- just like using grapes from the supermarket won't yield a good wine, the wheat flour that you get from the supermarket is not the same as brewer's wheat from the LHBS. Strains used by brewers definitely have less protein than normal wheat. Protein causes haze, and inhibits lautering
- examine the wheat for impurities. I quote Eric Warner's book, "Kolsch", here:
"... the total number of red or purple kernels should be less than 3 per 100 grams of malt sample ... discolored kernels are indicative of fungus growth (usually fusarium mycotoxin), which has been strongly correlated to gushing, or the extreme fountaining of beer, when a bottle is opened"