The sport that uses a device called a "steering wheel" for control is motorsport, specifically in racing events like Formula 1. The steering wheel allows drivers to navigate the track effectively, making quick adjustments to their vehicle's speed and direction. It also features buttons and controls for various functions such as changing gears, adjusting car settings, and communicating with the pit crew. Mastery of the steering wheel is essential for success in high-speed racing environments where precision and reaction time are critical.