I'll toss in here with:
1) I often use a wipe or two of beeswax *over* the wrapped portion [only] of my waxends *if*, and only if on the first stitch it seems to be dangerously tough going--maybe half of the time when closing uppers by-hand with titsy bristles, thin or cheesy leather apt to tear or cut-through, very sticky wax, etc. After the first few stitches the action of pulling the wrapped portion through the holes seems to burnish and smooth the wrapping down to where the going gets easier--"the first stitch is a b***h".
2) For welt/outsole-stitching, try rubbing the welt down with a chisel-shaped end cut onto a bar of soap for lubrication, thus keeping any slippery stuff off the thread itself. Tallow, etc., will dissolve and undermine your wax, and rob the thread of its needed coating. Same goes when sewing very oily uppers, like waxed-calf. It strips the wax off the thread at each pass, ruins the consistency of the remaining wax, and requires frequent re-waxing with fresh wax every few inches to, as Rees says, "keep it [the thread] nearly in the same condition it was when made".
3) I've never had much trouble like this when inseaming [welt-sewing], because the holdfast has been slightly re-dampened by having the wet upper lasted over it, but I'm a wet-laster
4) I habitually dip the awl in beeswax between each stitch, for everything. The forward-most compartment on my bench contains a solid pool of beeswax, refreshed occasionally by melting and pouring more in as it gets used up--maybe twice a year. For pegging this is a must. And, if you peg sitting down without a traditional style bench, try riveting a shallow tin can onto a little belt, then filling it with beeswax [molten then cooled], and strap this around your thigh at the knee so the can stays perched on top of your knee for dipping the awl into each time you go to pierce.