I use Castrol gear oil dispensed from a wee oil can with a long spout and a pushy button thing. It penetrates well, better than those waxes i think. Still on the original chain and sprockets after 20,000 miles and it looks like it will go a lot longer.
The oil does fling off a bit but I just use a rag with WD40 to clean the rear wheel after the first ride following oiling the chain.