That makes no sense and Filson does NOT recommend it. Mac wool can be hand-washed with Woolite or, as its care label indicates, dry cleaned. The oil finish wax is not a cleaner, it's a re-sealing wax for 'oiled' (i.e., waxed) cotton duck or cotton gabardine, NOT for wool. Wool is already naturally water-repellent. The wax finish would gum up the wool, reduce its natural breathability and insulative capacity, and make it a lot heavier and stiffer -- basically ruin a Mac wool garment. Assuming that you haven't waxed yours yet, read the instructions that came with the oil finish tin.
As for favorites for outdoor wear: Mine are the antique barn coat and, in light or moderate rain or snow, the cover cloth weekender.
Two cents,
Glen