Since you use Direct3D 11, you will need to use shaders to draw anything (fixed function got removed from directx10).
For wireframe you indeed need to set rasterizer state, here is an example (i also removed culling in there:
RasterizerStateDescription rsd = new RasterizerStateDescription()
{
CullMode = CullMode.None,
DepthBias = 0,
DepthBiasClamp = 0.0f,
FillMode = FillMode.Wireframe,
IsAntialiasedLineEnabled = false,
IsDepthClipEnabled = false,
IsFrontCounterclockwise = false,
IsMultisampleEnabled = false,
IsScissorEnabled = false,
SlopeScaledDepthBias = 0.0f
};
Then to apply this state,
RasterizerState rs = RasterizerState.FromDescription(device, rsd);
device.ImmediateContext.Rasterizer.State = rs;
After I admit there's not that many tutorials for SlimDX, for c++ there is
http://www.rastertek.com/tutdx11.html
You'll at least be able to find some basic shader examples in there.