I've been watching him very closely today to see just what makes him wheeze. It's not the shavings in his stall, because when I walked in this morning to feed I walked straight to him and listened for any signs. He was breathing fine, no wheezing at all. I gave him his feed and supplement with the syrup, he ate it. No wheezing. I let him out of his stall (but he was still in the barn) to let him nibble on some hay. And guess what, he immediately started wheezing. So I put him outside for a moment while I found something to soak his hay in. It's not that I can't soak his hay (I think someone mentioned this in another post), it's just that I was afraid that he wouldn't eat it if it started to freeze. I soaked some hay for him for at least 15 minutes before I took it out and gave it to him.
I did some other chores, and came back to see how he was doing. I listened real carefully, and he wasn't wheezing. Although, he did sneeze twice and it was weird. He would sneeze then immediately after he make this deep wheezing sound, but besides that he wasn't wheezing while eating the hay just when he sneezed.