On current bot, i am using keyed shaftes and a keyway drill straight into 30mm HDPE wheels. they have worked fine and am yet to see problem.

But what types of tools do you have ? if you have a welder you could use something like THIS and weld a larger plate onto it which you could put screws into the HDPE. But what thickness of HDPE are you using for wheels ? as i know of someone making 20mm HDPE wheels (CnC milled yes but nothing you cant make yourself) with a Hex pattern which allows the use of those Connectors i linked and they work great.