The step thing is to find a ticker symbol for what you want.

FinancialData gets most of its data from Yahoo Finance's API, so if you can find the relevant ticker symbol from Yahoo Finance's page, there's a decent chance that FinancialData will be able to get the data using that ticker symbols.

I personally would begin by getting the data for the price of wheat from Wolfram|Alpha in Mathematica. It is an easy way to access a lot of different kinds of data, including financial data like this. Please take a look at this tutorial on the subject: http://support.wolfram.com/kb/7357