I've been considering the same issue around wheels recently. Having now started to race and therefore being surrounded by bling carbon every weekend, it's easy to hear the call of the shiny-shiny kit gremlins. I don't want all of the other boys to point and laugh when I turn up on my triple-equipped Cube. Similarly, I don't have a fortune to spend, so want to maximise my pounds.
My thinking was simple-ish. My first upgrade will be to get a set of wheels - instantly useable and one of the biggest and easiest upgrades. Following that, I'll change my chainset and shifters from 105 compact triple to Ultegra standard double - slight weight reduction, more available speed. Finally, I get myself a carbon frame/forks and transfer all the remaining components - slowly upgrading to full Ultegra as the months go by. Seemed like a no-brainer.
Then I started looking into it (and believe me, I've looked in some depth!). Either the cost is prohibitively expensive, or the marginal gains are really so marginal that I'd be better spending the money on coaching to make myself better, and to stop blaming the bike. All of the cheap carbon that I can find offers no real gains (at least from a weight perspective). My Fulcrum 7's, that came with my bike, are 1849g for the pair. If I buy a pair of the standard Planet X carbon clincher wheels, they come in at 1796g - a paltry 53g weight saving. I could buy the Pro Carbon Wheelset, which comes in at 1455g, which is the start of a proper weight saving, but then they're tubs, which means that they're only going to be used on race days and do I really want to spend £450 on something that's only going to get used two or three times a month. Some of the cheap Chinese wheels are actually HEAVIER than my alu Fulcrums. Sure, there's the aero side of things, but I think I'd rather spend the money on eating more healthily and reducing MY aero profile!
Secondly, the cost of buying things piecemeal is prohibitive. A Planet X Carbon frame is £299. A nice frame, don't get me wrong, and light too - but it's just the frame. Add the forks and the headset and you're in the region of £420. Add the carbon clinchers, and we're already up to £820 without adding anything new - so I've (in effect) got a shiny new carbon bike and will be equipping it with a used 105 triple drivetrain. To upgrade the chainset to Ultegra - best I've seen is ~£70-ish 2nd hand, worst is around the £200 mark brand new, then add a bottom bracket, then don't forget that we need to change the shifters to double and you're looking at close to another £200. Ultimately, whilst it would be a labour of love, it would cost more to build than it'd be worth. I'd be better off shoving £100-£200 a month into a shoebox under my bed for 18 months and seeing what full bike I could afford at the end. Canyon have just announced and aluminium-framed Ultegra Di2 bike for under £2k. A 2 grand bike, with a £1500 groupset?!
When I'm knocking on the door of placing top-10, that's when these marginal gains will come into play. When I'm not contesting the sprint and finishing in the bunch, then I'm better off eating less and training more!