You can actually get some pedal wax because I have some, somewhere. But for my SPD's candlewax seems to work ok for me.

As to the clicking, I hate to mention it but it could simply be that the bottom bracket needs a repack and there is always the possibility of a bad bearing, even if the bike is new.

I once had a top of the line Ford PU that had to have an A-Frame replaced when brand new because of a hard spot on an axle spindle. It happens.