Add the uv sphere with the correct number of segments and rings (setings in toolshelf or F6 after adding sphere)
Go to edit mode and select all vertices (A)
Ctrl+F / Wireframe will convert this into a wireframe model
Look in the toolshelf (T) or F6 to chnage the wire thickness
In recent experimental builds of blender there is a wireframe modifier that does the same thing but non destructively. You can download these builds from the blender website or wait until blender 2.70 is released in a couple of months