I look at wax as more of an enhancement/protectant than a finish. Finishes, in my mind, are oils, varnishes, shellacs, polyurethanes, etc...that actually get into the wood and bond with it.
Oily woods, like Cocobolo, won't readily take an oil finish without complications (oil never dries, or dries in spots and stays tacky in others, etc). That being said, I read about a method of using an oil finish on oily woods that worked for a couple knives I did with Coco handles.
The method is to basically take a cloth and wipe the handles with acetone right before adding the oil finish. The acetone will cut the natural oil from the surface and allow your oil finish to penetrate and set up. Worked great for me.