Wax on the spokes doesnt transfer to the rims in use so its pretty safe. You just have to be careful when applying the wax. If you use spray wax, spray onto a cloth away from and downwind of the bike. I like to wax the whole frame and any exposed metalwork. Wax works particularly well on those old 1970s rust-prone spokes.
If you have disk brakes you need to be extra careful to avoid contamination. I haven't tried it with my discs because they use decent stainless steel spokes.