I've never stumbled across one, in terms of it just showing up in my course plot. They're rare enough that it's very unlikely. In some sector blocks, I've done a search and found them only occasionally, but I've only looked in the spiral arms, not in the core.
A trick you can use is to take the name of the sector you're in, and search for it with "AA-A H" appended. They tend to be generated as high-mass objects associated with a large 1280x1280 ly sector block. For instance, if you're in the sector called "Dryuae Bre", then you would search for "Dryuae Bre AA-A h", and keep hitting the "next" arrow to find all stars in the "AA-A" block sequence, at mass index "H". The H-mass objects appear at the top level of a sector block and have the "AA-A" address.
In the example above, I found one wolf-rayet inside that sector, when I was on that side of the galaxy.
Shapley 1 is the nearest to the bubble. Worth a visit.
So do we have to be careful approaching them? are they worse than neutron stars?
I found one 22k light years away was wondering if it is worht going to it.
Besides the AA-A approach via the Search they can also be spotted via the Galaxy Map. This often works for me: fully zoom into a system in the area you're interested in, then zoom out (about until you the 100ly grid is visible) and then pan left/right (for me via A and D). As WRs are visible from far away they thend to stand out as white dots moving slowly in the background (parallax). When you find one (procedurally generated) WR, there are usually more within that sector or neighbouring sectors. Good hunting!
PS: Here's a map from a few a while back, showing where WRs have been found so far:
Shapley 1 is the nearest to the bubble. Worth a visit.
I was close enough and I am in Shapley 1 now. Holy crap massive they are.