I have not personally tried to give a bare shaft a wax finish, as I would imagine that would interfere in the fletching process. I have, like has been said, buffed beeswax over the first 15 inches of arrows with both waterbased and oil based finishes.
If you were to attempt wax finishing arrows I would suggest fletching onto bare shaft and gluing on nocks and points first before rubbing in a wax compound, which would necessitate working it in between each fletching. I've made softened wax rub for woodworking by melting beeswax and choice oils together for hand finishing, but I would not attempt it on an arrow. Then also, like you said, reapplication would be necessary from both use and hot temperatures. More trouble than it's worth in my opinion, but maybe someone more experienced could give a better explanation or suggestion.