Lube dilemma
The problem with wax lubes is that they hold up very poorly in the wet. For very dry and dusty conditions, they may be the right choice. For most conditions ProLink or homebrew are good choices.
Assuming we're talking road riding, use the following technique for successful ProLink or homebrew lube (1 part motor oil to 3-4 parts odorless mineral spirits) application and use:
1 - wipe the chain, cogs, pulleys, and chainrings clean with a rag.
2 - drip on lube while pedaling (forward is better) so that the chain just starts to drip lube. Aim the lube between the side plates and between the bushings and the side plates.
3 - run through all the gears several times, front and back.
4 - wipe the chain, cogs, pulleys, and chainrings clean with a rag.
5 - repeat steps 2-4 if the chain was really dirty
If you do this every 300 miles or so (or when you get caught in the rain), you will not get any significant gunky buildup, and you won't have to clean the chain.
No lube is "perfect." A brite shiny chain that is clean to the touch but is well lubed and gives long mileage is still not possible. IMO, ProLink is the best compromise.