The ID of the record you're coming from is in the context, context['active_id']. You'll also have context['active_ids'], which is a list of the IDs you came from, which is used if you're coming from a list where more than one record is checked.

To load those in automatically, add a field for that ID (or those IDs) and set a default value in the wizard to a function that reads context for the active_id or active_ids. Something like:

def _get_active_id(self, cr, uid, ids, context=None):
    if context is None: context = {}
    return context.get('active_id', False)

_columns = {
    'purchase_id': fields.many2one('purchase.order', 'Purchase Order'),
}

_defaults = {
    'purchase_id': _get_active_id,
}

def onchange_purchase(self, cr, uid, ids, purchase_id, context=None):
    if context is None: context = {}
    res = {}
    if purchase_id:
        # Do extra stuff here now that you have the ID loaded
        # res['field_name'] = important_value
    return {'value': res}

An alternative method you might want to use instead is to create the wizard record FIRST, and then load the popup with all of the values in place (there are some technical reasons why that's nice but I'll let you find out why). Your button from the original form would be an object type rather than an action type, and the function it calls would be something like this:

def open_wizard(self, cr, uid, ids, context=None):
    if context is None: context = {}
    # generic error checking
    if not ids: return False
    if not isinstance(ids, list): ids = [ids]

    wizard_id = self.pool['my.wizard'].create(cr, uid, vals={'purchase_id':ids[0]}, context)
    return {
        'name': 'Purchase Wizard',
        'view_type': 'form',
        'view_mode': 'form',
        'res_model': 'my.wizard',
        'res_id': wizard_id,
        'type': 'ir.actions.act_window',
        'target': 'new',
        'context': context,
    }