Unlike other contributors to Clement Evans' series of state histories, General Wheeler contributed little real work. He plagarised Willis Brewer's fine history of Alabama Confederate units, and references to the Official Records attributed to him could have been done by anyone. They probably compiled by War Department clerks.

Brewer's histories are available from the ADAH --
http://www.archives.state.al.us/referenc/alamilor/mil_org.html

The story of President Davis and his escort will be found in An Honorable Defeat: The Last Days of the Confederate Government by William C. Davis.

The Mississippi regiments that will interest you are Miller's 9th, Inge's 10th and Perrin's 11th --
http://www.mississippiscv.org/MS_Units/mississippi_history.htm

Courtesy of Ken Jones, here's a series of articles concerning the 2nd Alabama Cavalry, the other regiment in Ferguson's brigade --
Ryan, Harriet Fitts, "The Letters of Harden Perkins Cochrane, 1862-1864," in Alabama Review. Pt. 1: VII, no.4 (October, 1954), 277-94; Pt. 2: VIII, no.1 (January, 1955), 35-70; Pt. 3: VIII, no.2 (April, 1955), 143-52; Pt. 4: VIII, no.3 (July, 1955), 219-28; Pt. 5: VIII, no.4 (October, 1955), 277-90.