I also tried attaching two parallel wheels (also did inline wheels) but it just wants to spin in a circle and when I try to move it in the direction of the wheels it falls over easily unless I push very slowly. I suppose motorized wheels will work but without some active dynamic balancing mechanism it would be pretty susceptible to falling.
If you are interested in the gyroscope details see my other gyroscope video here:
Update: 4/23/2014: I am continuing to experiment with this gyro as it has a problem of precessing probably due to friction in the gimbal which causes it to eventually tumble or fall over.
I have now remounted it using inline skate bearings and a few more cds (total 7) for the rotor. It now spins nicely and balances better but precession still creeps in.
I have connected rc gear and can control precession easily with a servo and counterweight.
Next step: want to connect Arduino to servo and use a sensor to detect tilt angle, all to control counterweight.
Waiting on sensor to arrive, will have to wire up my own as it is just a chip.