I rarely do this. The part of the chain you are wiping is the part that does not matter if it gets dirty. I think I did this once or twice on each bike this year.

Twice on the bike where i replaced the chain. Wiping it off before I took off the old chain made the cleanup easier when I was done.

The rollers contact the cassette, so you should make sure they are clean. And the internal parts like the pins and the inner plates where they wear on the pins, those parts that you can't see are the important parts. Wiping off the side plates off will not help extend the life of the chain. But it might make your cassette and your right leg cleaner.

But if you are frequently removing your chain for the hot wax treatment, I can see where keeping it cleaner on the exterior between swaps is worth doing.