There's a few different waxes to choose from. There's a pomade wax, which works more like a styling product, more so than a wax. The important thing to note is that you want to be sure it has some stick to it, and some of the pomade waxes are usually a little greasier, a little too thin, and they don't really allow the stick, to help you with your twisting or palm rolling.
Another type of wax is the pastier wax and those are usually very creamy. And when using those, if those are overused they can really cause a lot of buildup, and it could cause a chalkiness or a grey tone to your dreads. No matter what texture or what color your hair is there will be kind of a chalkiness about them.
And of course, the original kind is the beeswax and that one is 100% natural. The thing to note about beeswax though, is that it is very waxy which can really cause a huge buildup, if you overuse the beeswax. You really want to use waxing when you're finishing up with a repair, like if you're repairing your dreads, or if you haven't palm rolled or twisted it from roots to tips.
Then you can use a little wax and that'll make it a little bit neater, give it a cleaner look. Also, what it does is it kind of helps hold the product that you're using as in oils or gels. Definitely, you don't want to overuse wax. Those are some different types of waxes you can consider using for your dreads.