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The wax acts as a lubricant. you don't need any lube. indeed I think it might not be advisable but others with more knowledge could chip in.
Been shooting Wolff lead bullets in .45ACP for years. no residue to speak of. If you were shooting hot loaded 9mm you might get some leading- some barrels are worse than others. I've heard glock owners talk about changing barrels to shoot lead but since i don't
own one I'm not sure how severe the porblems are.