Since you're using Citrus Perl, you could try using Cava Packager (from the makers of Citrus Perl) to create your stand-alone executables. I personally haven't used Cava Packager, so I can't offer insight on the tool.
If you're wanting to move to ActivePerl, you might find it easier to install Wx from the Bribes respository. I think that ActiveState may have configured PPM with the needed information to add the Bribes repository. If not, you can go to http://www.bribes.org/perl/ to get more details about using the repository.
If you plan to install Wx and related modules in ActivePerl directly from CPAN, keep in mind that ActiveState does not include compiler and related tools by default in ActivePerl installation. For 32-bit ActivePerl, you can use PPM and install MinGW and dmake from ActiveState's repository, which will then allow you to install modules from CPAN that need to be compiled (like Wx).
Another alternative is that you can use the pp utility from the PAR::Packer module.