To wax a pilot hole without much cleanup, use a stiff piece of packing string and some beeswax to line the hole.
Dabbing wax on the end of a screw will help it drive easily, but I find more wax gets squished out of the pilot hole than into it. Here’s a way to avoid the messy cleanup. I soak packing string in melted beeswax. Then, I cut a piece of the stiff string a little shorter than the screw length and drop it into the pilot hole before driving the screw. The wax stays right where it’s needed, and the surrounding wood stays clean. I keep a batch of them near the bench so they’re ready when I’ve got screws to install.
