I've never used wax, as all the acme threads I've ever encountered like this were pre-greased. If I ever get or build one of those wood-acme-thread vises I'll use some sort of wax. But for now I'm stuck with metal-on-metal screws.

I've experimented with various lubes, greases, and oils over time, and I've found that lighter oils are the best.

They'll still attract sawdust the same way (or maybe a _little_ less) as grease, but it seems easier to cleanup. I bought a metal can of WD-40 and a refillable spray bottle, and I give the threads a few squirts, and then wipe most of the softened crud off with a rag. Basically, I use WD-40 as a cleaner and rust-preventive.

The downside is that petroleum-based oils can stain wood, so you have to be careful with pieces you are getting ready for finishing.

I've found that silicone or other synthetic lubes often don't stain (but you have to make sure it is one of the safe-for-wood types) but gunk up just as much as organic lubes.