The difference in the wheels themselves is the compound used to make them. The different compounds are designed with different types of metals in mind. As you grind they are designed to fracture the particles (of the wheel) away at different rates in order to keep the wheels cleaner (friability). The gray wheels are designed for higher speed grinding and greater metal removal at the sacrafice of dirtier wheels. Less precision if you will. (This is the SHORT explanation)
For what woodturners do (HSS steel and exotic metals) , I would go with the Oneways or Norton SG. If you can't afford them, Camels pink wheels. I believe they are less expensive.
I would highly recommend some sort of dresser and the Oneway balancing system. The latter has done wonders for how smoothly the cheap grinder I have runs.