The manga never explains why exactly he is so fond of Mr. Wilde. It is possible that he views him as a pervy role model and inspiration, being notorious for his (homo)sexual shenanigans. Yet I don't think this is the main reason, since this is a het ecchi series, which tend to view homosexuality as squick.
It is more likely a reference to the nature of Wilde's works, which Yokodera has almost certainly read, given how often he quotes from them. They tend to focus on similar issues to the ones he's facing: e.g., The Importance of Being Earnest deals with matters of saving face, when to lie and not, the purpose and functions of social graces and hierarchy, and of course, How To Get The Girl! Not to mention the tone is almost always light, irreverent and satirical of his "social betters". All of this mirrors issues within his own life, and so he likely feels Wilde is a kindred spirit. (And not least, he's a very entertaining author to read, and eminently quotable for every occasion!)