These are both non-parametric tests so I think they will both work with rank calculations and hence are comparing medians not means. The distinction between the two is that the Wilcoxin test performs pairwise comparisons (it is the non-parametric equivalent of performing a Student's t test on each pair); the alpha level is fixed and takes no account of the number of comparisons being performed. The Steel Dwaas method performs the multiple comparisons whilst controlling the overall experiment-wise error rate (it is the non-parametric equivalent to the Tukey All-Pairs method). If you don't take account of the number of comparisons then your overall Type I error rate will grow quickly as illustrated below:
-Dave