Several years ago an acquaintance gave me some quilting thread she had waxed. She put the spools in melted wax and let it soak and then cool a bit and wiped it off.
To my knowledge, no one makes waxed thread anymore. I am sometime wrong about things. However, one of the best (I think) quilting thread is the 99 cent spool you get at Joann's. They are in the wire bins. Comes in several colors and is made by A&E which also makes Signature thread.