Over the years I've gone from using nothing, linseed oil, spoke prep, and now bee's wax. If I were building a wheel today, I'd use bee's wax because I like the way the spokes feel when I tension them up. I've also had the occasion to disassemble a wheelset I had built previously using bee's wax and I liked the way the spokes felt as I was taking the wheel apart. Bee's wax is the most labor intensive of the four methods I've used but I don't charge myself labor so I don't care.
If you look hard enough you will be able to find several threads on the subject of spoke prep. I've read posts from several mechanics who I respect who have strongly held but conflicting recommendations. My conclusion from all this is that it doesn't matter. If a mechanic was having failures that were traceable to the spoke prep method he was using, he'd change. When I read from several different wheelbuilders who each have a method they believe in, it makes me think that any of several different methods will be perfectly adequate.