Have used the 'hot wax' method for 30+ years. It works.
However, wax will not 'penetrate' metal chainlinks (neither will oil) but it will penetrate the spaces (in its liquified form) between the roller pins of the chain. That is where you need lubrication.
Living in very dry Arizona has its advantages; will easily get 4,000+ miles off the chain before having to re-wax. In wetter climates, you'll need to do this more often.
I do my chain cooking outside on a one-burner electric hotplate. Pre-clean chain. Put block of canning wax in big coffee can and heat; drop chain in. After it gets about 5 to 10 minutes in the liquified wax, remove chain utilizing long handled pliers. Hang chain to drip, put newspaper (or whatever) under the dripping chain. Wipe down chain with rag after it cools. Re-install chain. For a couple days you may have dark flakes of wax on your chainstay. No problem.
Result: a very clean-to-the-touch chain (leaves no greasy marks on hands) and above all: a noiseless chain.
Works for us!
Pedal on TWOgether!
Rudy and Kay/zonatandem