I wax my chains several times a year, but remove them to soak overnight in solvent first. Then I wax them by soaking in an old coffee can full of melted paraffin I always leave them submerged until their are no more bubbles. The absence of bubbles tell me that the paraffin has penetrated all the secret little places, driven out all the moisture and coated every surface.
Between wax jobs I use a wax based lube like White Lightning Clean Ride, LPS-1 or Boshield for occasional lube. I've been doing it so long I don't know if chains last longer or not, but it's not much of a hassle now and then and I sure feel better about it. They look a lot cleaner.
Marc