Although it is not always possible, it is best to win a trick with your Wizard when you are the last person to play. (When the hand has been underbid) Otherwise you may allow other players to dump high cards, trump or even other Wizards on your Wizard. I have often seen a cornucopia of winning tricks fluffed off when a Wizard is played early in the round. This mistake may well result in your winning an extra trick with a minor card.
Clarification: I am talking here about a situation where you want to win a trick with your Wizard. The point is you should try to win the trick without helping others to improve their situation,

i would never lead a wizard on a underbid unless i have jesters to back me up. I always try to wiz on a suit lead earlier on in the round so others can't sluff trump. (usually aren't short suited yet, in the later hands) I guess it all depends on what you got .. what round...