I like Tri-flow for my road bike, but it does have a tendancy to collect dirt. Wiping excess off as stated above helps tremendously. But yes, I put a drop on each link, back pedal for about a minute to ensure proper penetration, let sit for a few minutes, back pedal again while holding the chain with a rag in my free hand to wipe off excess.

I use a parrafin based lube like White Lightning, or Krytech for my mountain bike. The wax (parrafin) is the carrier agent for the lube, and once it dries, it flakes off, taking the dirt with it. Only problem is you have to reapply the lube more often.

L8R