When I fitted a Sabelt wheel to my car and put the resistors in it turned off the service/airbag lights. I believe they stay on when any of the sensors related to them round the car aren't reading correctly. Did you disconnect the battery when you changed the steering wheel - ie when you took the original airbag off?
If not then I would disconnect the battery, then check you have the resistors firmly connected into the airbag connections.
If this doesn't work then perhaps you either have the wrong resistors, or there is another problem.
Sometimes the airbag sensors under the seat can get loose I believe - try tracking them down and disconnecting, then firmly reconnecting them.