My dad taught me to use bees wax on screws when I was a little child (actually I guess most children are little). It really works. It works so well that I really notice it if I do not use it occasionally. I have on rare occasions used soap when wax was not available. However, that was in "construction" type of woodworking.
When doing a jig or mock-up I frequently use the material from the synthetic bees wax toilet rings.
In the past I found that genuine bees wax toilet rings were the least expensive way to purchase bees wax. However, today, in the Big Boxes, if you ask for bees wax toilet rings, they look at you like you just dropped in from Mars.
Many years ago a man doing some construction for me used bees wax. He drilled a hole in the end of his very long framing hammer and filled it with bees wax. In one smooth motion he would plug the nail into the wax, hold the nail up in position and WHAM drive it home in one motion. If he had ever hit his finger, it would have vanished.
Back on topic. Candle wax also works. However, it does not stay on the screw as well and is not quite as efficient. The synthetic bees wax toilet ring material works great. It really sticks to the screws (and your fingers and anything else it touches). It is very easy to use---just keep your cotton pickin' fingers to yourself. If I were going to use it on something of quality, I would make sure that you can clean it up sufficiently well so that the wood will accept finish. I say that because I cannot remember putting finish over an area where I used it on screws. Glenn says that he uses it most of the time and has no problems.
Enjoy,
JimB