Consider using sf::VertexArray of type sf::PrimitiveType::TriangleFan which you may use as circle if you choose the number of elements large enough. See SFML : designing your own entities with vertex arrays for more details about vertex drawing.

For given example of array

sf::VertexArray wheel(sf::PrimitiveType::TriangleFan, 6);

wheel[0].position = sf::Vector2f(100.f, 100.f); // Central point
wheel[1].position = sf::Vector2f(150.f, 100.f);
wheel[2].position = sf::Vector2f(100.f, 150.f);
wheel[3].position = sf::Vector2f( 50.f, 100.f);
wheel[4].position = sf::Vector2f(100.f,  50.f);
wheel[5].position = sf::Vector2f(150.f, 100.f);

wheel[0].color = sf::Color::White;
wheel[1].color = sf::Color::Red;
wheel[2].color = sf::Color::Yellow;
wheel[3].color = sf::Color::Green;
wheel[4].color = sf::Color::Blue;
wheel[5].color = sf::Color::Magenta;

you'll get such a picture