My nickname is "The Wonderboy", my question is basically how to write that nickname in katakana. Is it: ジ・ワンダーボーイ ? or ザ・ワンダーボーイ ?
The is pronounced as /ðə/ before a consonant, and as /ði/ before a vowel. /ðə/ is closer to ザ and /ði/ is closer to ジ. ワンダーボーイ starts with a consonant ("w"), so you should use ザ.
That said, this rule is often ignored in transliteration, and you will see ザ used regardless of the following katakana on posters.