is it a good idea to place a crown (very thin) of metal with holes between the disk (rotor?) and the aluminum's wheels ? Just preventing the whells sticking. I used the grey grease between the mag and the rotor but its a mess when I want to remove's one.

 

I would say don't use gray grease, use Coppaslip instead, you'll need less of it. I can't see how inserting a shim will give you an advantage, without a bit of Coppaslip, or grease, it will corrode and stick the wheel same as the disc/wheel on its own, surely ?

 

As Fraser says, but don't put it on the rotor whatever you do! A thin smear on the hub contact surface to the wheel should help.

Usually when removing a stuck alloy wheel, I place the jack, crack all 5 nuts, remove 3, then raise the car a little of the ground. Slacken off the remaining 2, and if the wheel is stuck to the hub, a swift kick with the sole of my heel will break the seal.

Then finish raising the jack, and remove wheel.