The axle ends usually aren't threaded but notched and the hub caps (which retain the wheels) are not designed to be re-used. Once applied they have to be detroyed to remove.

Usually they sort of crimp against the notched/flat ends of the otherwise round axle, and/or the axle might have a split/slot cut.

Contact your wagon manufacturer for replacement parts. If your wagon was recently purchased (and for example you installed the L wheel on the R side, etc.) they'll usually ship out replacement hub caps (retaining hubs) for free. If you are replacing old or damaged wheels then you'll likely have to pay a small charge for the replacement hubcaps.

Kinda depends on if you have ball-bearing wheels(more expensive wagons, easier pulling) or not as to which hubcap is used.

Sometimes the axle is threaded an a castle nut was used (older wagons).

the axle caps that are used on kids riding toys, garden carts, etc. are sometimes called "push nuts".

http://www.bakfin.com/starlock/deepaxlecap.html

http://www.bakfin.com/starlock/roundshaft.html

http://www.bakfin.com/starlock/nyloncap.html

If the end of the shaft was squared, could be something like this:

http://www.bakfin.com/starlock/squareshaft.html

The 2-cut edges I was referring to earlier, is also called a "double D"

Here is an example:

http://www.bakfin.com/starlock/double-d.html

axle cap nut:

http://www.abcorfasteners.com/axle_cap_nuts.htm