Charlotte Mason speaks to this quite a lot. I just finished a joint blog series in which my friend and I were going over her most neglected volume, Formation of Character. The primary piece of advice she has is to let the story/book/painting/musical piece do the forming. If you "point the moral" in everything, it becomes tedious and children tend to reject that kind of didactic approach. So our part is to choose the material well, and then to join our children in appreciating and learning to love knowledge.
She admits it's a risk (some kids might prefer to emulate the 'bad guys'), but she also points out that this is the way the Bible is written--the stories are given to us straight, without direct teaching and application. Healthy servings of wholesome reading we offer up like healthy meals, but the children have to taste, chew, swallow, and digest, and no one can do that for them. It's like sitting at the table and visibly enjoying the vegetables, and hoping they catch the hint (vegetables can be delicious). One might argue that forcing them to swallow a few mouthfuls will provide the nutrition, and they don't have to like it, but if you set up a lifelong antipathy to that food (I myself despise peas to this day), they will miss out on the goodness that food has all their lives. So we don't want to create a distaste for literature, art, music, etc, with the pedagogical methods we use. I think Augustine's concept of "ordering our affections"--learning to love what it good, and despise what is despicable--is the right approach (CM version: Education is the science of relations).
It's similar to the principle behind "give a man a fish and feed him for day; teach him to fish and feed him for life." If we are heavy handed and didactic about the "moral" behind what is good, and true, and beautiful, we might influence the outward conduct of our children for a proverbial day, but if we want to shape their character--their internal moral compass--for life, we need a different approach.
And wisdom begins in wonder, as you suggested. In practice, we read and narrate great books. And sometimes moves and TV shows.