when to use on veut vs nous voulons?

Bonjour Alexandra, Nous voulons is the normal way to say "we want" in French. On veut is informal. Note that on veut can also mean "you" and "people in general": On = we, one, people

but doesn't on also mean we ?

Yes and as Laura mentioned, it's "informal". So if you're with your friends, you can use "on" instead of "nous".