I have had several Colt revolvers and auto pistols (in nearly pristine condition) that have been kept just "wiped down" with Hoppe's high viscosity gun oil for nearly 30 years, as well as several other "long guns", with absolutely no signs of rust, oxidation, etc.
I am no chemist, but I'm not sure why one would need a "wax" to protect the surface of a gun, unless it was to be subjected to water or another form of moisture.
I have always thought that the use of a wax (throughout history) as a preservative , was because it penetrates the material, (leather/wood, etc.) and I don't think that's going to happen with a metal surface! Educate me!
Avoid any product that has ammonia as an ingredient for Nickel finishes...PLEASE.
As you already understand, rust is the oxidation of the iron in the steel. Steel is actually an alloy of iron -- with some alloys being more resistant to having its iron oxidize.
The oxygen causing the corrosion is in the air all around us. Other factors, from moisture in the air to contaminants on the surface of the metal, affect how the oxygen in the air corrodes the iron in the steel.
Oils, waxes, grease, etc, work to create a barrier protecting the steel from the corrosive effects of the oxygen in the air. As do some of the finishes applied/induced to steels themself.
There can be a multitude of factors affecting how the protectant works in a specific environment. One of the big questions with protecting oils/etc. is whether or not the steel being protected is unused, perhaps in a temperature and humidity controlled environment, or is it being handled. One could store steel, with absolutely no protecting oil, in a completely oxygen-free environment and have no rusting happen.
The problem -- or it would be better to say "one of the limitations" of oils or greases is that they can be wiped away if an item is used. Since much of the protection of the steel is happening on a microscopic level, even if the bulk of the protectant is wiped away, a very thin film remaining, might still work to give protection against corrosion. Generally though, protectants like waxes have more "sticking power" and remain even with an item being handled.
Another problem that can happen with oils, can be that many oils "float" on water. We are all pretty familiar with this idea of "oil floating on water" when the body of water is relatively large and the amount of oil is relatively small.
This condition can be reversed when looking at something like the surface of a firearm. The oil covering the surface is the "large" area, where the water can be just a drop or small amount of condensation.
There is a lot going on microscopically, but the oil acting as a protectant still wants to "float" above the water. If the oil starts to float (it can be "helped" with small particles of dirt) the water is then reaching the steel that formerly was protected by the oil film. If water -- even a very small drop -- reaches the steel, it is particularly damaging since water acts as a catalyst in the corrosion of the iron in the steel.
The "freckling" of rust spots you can sometimes see in older firearms is probably usually caused by small amounts of condensation of water (likely at dust or dirt particles) on a surface that was generally protected by oil. The condensation likely happened due to swings in temperature and humidity. The same oil film, applied to a firearm that didn't experience swings in temperature and humidity, probably wouldn't see the rust freckles start.
Another big corrosion catalyst that can be working along with water can be the salts that seep out of our pours. Sweat -- and pretty much anything we touch receives our sweat -- can be a very powerful agent in accelerating rust.
Here again, the "stickiness" of waxes (or greases) can work better than oils in protecting a firearm's surface since it is less susceptible to "floating" and allowing water (or the "salt water" of something like our sweat) from reaching the steel.
The bluing loss one can sometimes see in the grip areas of older firearms -- when the rest of the bluing is in much better shape -- is probably mostly the result of the corrosion (small amounts happening successively, and cleaned off regularly after use) forming from the corrosive nature of sweat.
In terms of "penetration," normally, oils will be better than a grease or wax. Oils will "creep" so they can actually provide a protective film places where they were not directly applied (which can be important in firearm functioning), where a wax or grease will only protect the metal where they were specifically applied. While the creeping of oil can be beneficial to protecting parts one cannot reach to wipe the surface, it can be considered undesirable when the oil to protect the metal comes in contact with something like wood stocks.
We all know the heavily oil-soaked appearance of the stocks that can be found often on old firearms.
For firearms I'm storing longer term, and may be applying a coat of oil over the metal surfaces, I store wood or rubber stocks (or other parts) away from the oiled metal.
For firearms I handle regularly, I prefer waxes -- particularly for the outer metal surfaces that will be touched regularly. Even after handling one protected by wax, I like to use a silicon rag to wipe/buff any surfaces that were handled. (Touched surfaces will not only receive sweat, but can have our own body's oils left behind -- it is my understanding our bodies oils are acidic.)