WRONG RWY LNDG BY A CL65 FLT CREW AT MSN; WI.

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MADISON APCH CTL CLRED US FOR VISUAL APCH TO RWY 18 IN MSN. THE INITIAL OFFER FOR THE VISUAL APCH WAS DECLINED BY US SINCE THERE WERE SOME SCATTERED CLOUDS BTWN US AND THE ARPT. WHEN WE DID SEE MSN WE DID ACCEPT THE VISUAL APCH AND REQUESTED A TURN TO THE R TO WIDEN OUT OUR BASE TURN. APCH CTL INFORMED US THERE WAS TFC TO FOLLOW US AND RESTR US FROM TURNING TOO FAR TO THE R. (I DON'T REMEMBER THE HDG.) WE WERE HANDED OFF TO MSN TWR AND TWR CLRED US TO LAND RWY 18. FO WAS FLYING THE APCH. I WAS COMPLETING THE APCH CHKLIST AND DECLUTTERING THE FMS FOR OUR MAP GUIDANCE. THE FO REMARKED THAT WE WERE TOO HIGH ON FINAL. I LOOKED OUTSIDE AND AGREED AND WE BOTH CONCLUDED THAT WE COULD NOT CONTINUE FROM THAT POINT. I REQUESTED FROM MSN TWR FOR A L 360 DEG TURN TO LOSE ALT. TWR HESITATED BRIEFLY BUT APPROVED US FOR THE L 360 DEG TURN. HE REQUESTED THAT WE KEEP THE TURN TIGHT AS THERE WAS TFC TO FOLLOW US. I HAD MY HEAD OUTSIDE TO MONITOR OUR ALT AND RELATION FROM THE RWY. WE COMPLETED OUR LNDG CHKLIST BY CONFIGURING WITH THE FINAL FLAP SELECTION. LNDG WAS UNEVENTFUL. TWR THEN CLRED US TO CROSS RWY 18 AND TAXI TO OUR GATE. ONLY TWR'S CLRNC TO CROSS RWY 18 CUED US THAT WE LANDED ON RWY 21 INSTEAD OF RWY 18 AS ASSIGNED. TWR MADE NO MENTION OF ANY PROB AND WE DECIDED TO CALL AND CONFER WITH THE TWR SUPVR VIA CELL PHONE. WE APOLOGIZED FOR OUR ERROR AND THE SUPVR TOLD US THAT THERE WAS NO CONFLICT. WE BELIEVE THE PF (FO) PERCEIVED US BEING TOO HIGH BECAUSE WE LINED UP RWY 21 INITIALLY. BY OPTING FOR A 360 DEG TURN; WE THOUGHT THAT WAS SAFER THAN TRYING TO DIVE DOWN FOR THE RWY. WHEN EXECUTING THE 360 DEG TURN TO LOSE ALT; WE DISCUSSED WHICH WAS THE BEST MANEUVERING SPD FOR STALL PROTECTION. THIS DISTR US FROM XCHKING OUR FMS MAP AND CDI WHICH GIVES US LOC REF AS A BACK UP. MY HEAD DOWN DURING THE INITIAL MANEUVERING FOR THE RWY FOR THE COMPLETION OF THE APCH CHKLIST AND FMS PROGRAMMING WAS A CONTRIBUTING FACTOR.