What utility did you use for searching? If you use locate it will only find what is in the database not what is on the hard drive. The find utility should be used.
Try doing find / -iname 'wx-config' 2>/dev/null
RPM files may not contain the headers, so may need to download additional RPM files. I think your wxGTK RPM file only contains libraries.
You can use Kpackage, gnome package, or Midnight commander to look through the RPM file.
You should not mess around the wx-config file unless you have multiple versions of wxWidgets.