I don't think that wax is a good choice.

Like David said, the wax may cause some adhesion problems when finishing the thread wraps.
The usual choice is to finish with spar varnish or a polyurethane.

Personally, I would stay away from any wax until the rod is completed and then maybe add a coat of wax once the finish has had a long period to dry.

Also, when finishing the wraps, you may want to thin your finish to get better penetration into the thread wraps.

Brian