I would strongly recommend you do not wax or otherwise lubricate wheel studs. Clean with a wire brush.
I suppose I could have been more clear that it’s only on the exposed portion of threads, only after properly cleaning, mounting and torquing. Certainly not in the manner you’d see some use antisieze compounds. I run lugnuts exposed for easier, earlier identification of potential problems. It makes it easier (and thus more likely) to recheck torque after rotations or remount.
I suppose it would be as potentially detrimental as the spray wax setting at a local car wash.
I certainly appreciate the intent. Safe travels.