I suffered the same annoyance so a long time ago I added a 'workspace switcher' to WingPanel. Clicking on it gives me a dropdown list of open workspaces, the I click on the one I want. Still not ideal, and not what I want. I often wish I could just scroll on that icon in wingpanel instead of clicking it.
Maybe someone knows the guy who wrote that switcher and could ask for mousewheel scrolling to be added to it. I has to be easy! But for now it was not the solution.
So I added Docky under my wingpanel. And to docky I added its workspace switcher, which shows how many workspaces are open all the time and lets me click on any workspace on its icon or, and this is the nice part, scroll the mouse wheel while over the icon to cycle through any open workspace.
It also has the advantage that it works even when there is a full screen window on a workspace.
Again, not a perfect solution, but the only one I have come up with that works 100% and is dead easy. Even if you just install Docky and have nothing else on it other than the workspace switcher.
As mentioned, docky can live quite happily under/over (i've never worked out which it is) the wingpanel, or you could drop it on another edge of the screen.