The city has to be building a Wonder before the caravan/freight enters in order to get the extra "add to Wonder" option. Note also that you can switch between Wonders and spaceship parts without losing 50%, so this trick can also be used to help build your spaceship.
The contribution that caravans/freights can make toward research is when trade routes are established. Depending on a set of characteristics (commodity demand, distance between cities, overseas, foreign civ, etc) you get both a one-time "bonus" payment of beakers equal to the gold payment upon delivery, as well as an ongoing trade route between the cities that can add extra trade arrows each turn. Also, the delivery bonus beakers are not halved like city research when you are in a Fundy government. Check the Index of top threads to find one by Samson about Caravan/Freight Delivery Bonus Payments for all the details.