Use whatever you want. You need to pay close attention to the direction of thread (yes, thread has a direction!!). In other words, you want to be sure that you are pulling thread on the smooth side, not against the grain. Just feel the thread. One direction is smoother than the other.
I've tried waxing threads, using special additives, wetting, etc. etc., but once I discovered about thread direction, nearly all my tangling issues ended. Now it only happens when I don't pay attention and load the thread on the needle backwards.