Should the wheels have come with valve extenders, or are they usually sold separately?
Both :-)
Yes, wheel manufacturers should supply relevant accessories (particularly Mavic with their wheel&tyre packages), and yes, you do usually end up having to buy them yourself.
Valve Extensions. Will cost you ~£5
Decent article here:
http://www.slowtwitch.com/Tech/Valve_Extender_How-To_3007.html