Much as I'd love to see LeBron and Wade on the Knicks (it could do a lot to restore the NBA's profile, if nothing else), I bet they end up being stuck with lukewarm options like signing Boozer and trading for Arenas or something. They absolutely have to try to get those two though, as should every team with an inkling of cap space and ambition.
It would take a couple of years to accumulate role players, sure, but it could be done. Draft picks are useless to guys like that - Wade's prime is RIGHT NOW. But there is the mid-level exception, cheap mid-season veteran pick-ups, and the prospect of the entire free agent market being generally depressed. Who'd have thought a player like AI would be available so cheap? Role players can always be found if a ring is a serious prospect.
Even if they don't, a LeBron-Wade led 40 win team would still be the most terrifying and entertaining first round playoff matchup of all time.