I use tying wax all the time. It's especially helpful if you tie with silk, which is, to coin a phrase, smooth as silk. With wax, it only to take a couple of turns to start it on the hook without slipping.
Another place that I've recently discovered that it really helps is in tying parachute flies. Unwaxed (or lightly pre-waxed) thread tends to slip down the post when you're first wrapping it. Heavy waxing really helps prevents this.
Waxing a thread well also eliminates the need for head cement.
I make my own wax from pine resin (rosin), beeswax and oil. There are videos out there on how to do that.