Chain lubrication is a frequently discussed topic here. You might want to search for some old threads.

You have to reapply any chain lube from time to time. "Dry" lubes will generally need to be applied more often than "wet" lubes. Wet lubes will generally accumulate more "crud". Wet lubes are supposed to be better in wet weather than dry lubes. Oil would be a wet lube. Ice Wax is a dry lube.

What kind of oil were you planning on using?