They are not a myth, no.
Wife selling in England was a way of ending an unsatisfactory marriage
by mutual agreement that probably began in the late 17th century, when
divorce was a practical impossibility for all but the very wealthiest.
http://en.wikipedia.org/wiki/Wife_selling_(English_custom) -(I know, wikipedia isn't 100%)
It was simply due to women had no real rights when married, and marriage wasn't registered, so men could just "pass on" the woman and the marriage.
Another source that list a series of claimed evens of such sales: http://www.ontalink.com/history/18th_century/regions/British/wife_selling.html
Dated 1720 from an old magazine known as "Lloyd's,"
We were lately
witnesses of a case of wife-selling in an old town in South
Staffordshire. It appeared that the husband had set his affections on
another woman, and his wife hearing of it, had very justly showed
their displeasure in a variety of ways; whereupon the husband, who was
a collier, took her to the marketplace, and sold her to the highest
bidder for five shillings. There was much excitement in the crowd
which assembled to witness the act, and the affair ended with a good
deal of drinking at the expense of the husband and the purchaser."
While no clear indication of sales happening in Wednesbury market, the fact it was supposedly a marked during the time these wife sales are said to happen, indicates it is quite possible. While I can't find exact moment of when the area became an actual market, there is a reference to a time indicating things started to happen:
In 1315, coal pits were first recorded, which led to an increase in
the number of jobs. Nail making was also in progress during these