I'm considering buying a set of 16" Steel Wheels for my 02 WRX from Sam's Club or Costco (seems to be the best price around).

Has anyone encountered any problems with the fitment of aftermarket steel wheels?

Their weight will definitely affect your handling. Have you considered buying a used set of OEM rims? I got 4 used '02 WRX rims complete with mounted winter tires (used 3k miles) for USD 300 total. You should certainly be able to get the rims alone for about USD 50 each.

Unfortunately I have not been able to find used rims for that low of a price.
I already have a set of 16" Yoko AVS Winter tires.

I can get brand new 16" steel wheels for $40 USD each.

Performance isn't a real concern for the winter months. I tone my driving down for the winter months.
Canadian winters can be pretty trecherous so you have to be careful.

Tire rack has plain steel wheels cheaper than that and shipping is not that bad.

I ordered 4 steelies for my 2004 WRX from Luke at the Tire Rack - it cost me a total of $275 shipped to my place in Western,NY and it took only two days.

Frankly, I think that ordering some from Costco or Sam's - that might not be the optimal fit - is folly. I called Luke's toll-free telephone number, and he took care of me in a friendly and efficient manner. Many kudos to Luke, and I've had nothing but good experience with Tire Rack - in fact my Subaru dealership constantly recommends them as a good place to buy from.

Tire Rack is an option but getting the wheels across the boarder in to Canada would cost $$$ in shipping and duties & brokerage fees (not to mention the exchange rate).
After all is said and done, I'd be better off buying them from the my local Subaru dealership.