There are various options:
You can buy circle cutters for pillar drills which are fine for small circles and cogs. they are relatively cheap and some are adjustable.
For larger circles, such as the wheels of the car I'm making, I need something else.
Below you can see various wheels I've made today:
First some plastic bits I had lying around; either too small or just not the right look.
The final wheel was again hand cut but with brass spokes added. Again careful measuring was needed to mark the spoke position.
A dowl (which doubles as the wheel's axel) was added to the mdf circle and by clamping the wheel I was able to cut a series of vertical holes for the brass rods.
I then cut out the inner shapes (this meant the wheel rim has a slit in but this doesn't really show) and repeated the process. You can see the first attempt split in half.
The end product, lacking some spokes looks just right.
The circles are not perfect, needing some sanding but are far better than previous attempts.