There's absolutely noting wrong with running wire under a baseboard or through/in a wall. You just need to be sure to use wire approved for in-wall use. I use something similiar to
this
If it's a really long run, you might want to use a bit heavier gauge.
There is a super flat wire made that is designed to be run across a wall and then be painted over. Once it's painted it is really hard to see, especially if it's run across the top or bottom of the wall. It's a quite a bit more expensive than the above wire though, usually around a few $/foot.
I'd recommend against wireless speakers. Both of the two types available (infrared and RF) suck to put it bluntly. The problem is that neither scheme allocates enough bandwidth to the signal to allow for truly high quality sound to be transmitted. And you still have to find a way to get some kind of wire to them for power.