What Sunray said, especially if it is a milsurp or otherwise collectable.
However, if you do want to use wax to give a shiny finish, or for extra protection, you can use a museum quality non-organic paste wax. It can be taken off with mineral spirits. Musuems use it, and it is safely removable and shouldn't damage the collectability.
There are several brands, the most famous being "Renaisance". Brownells carries it, and you can probably find it online or at antique stores. Lee Valley Tools also stocks a Canadian made product called "conservator's wax", comes in a 125ml can for around $20, (this is what I use).
If your gun is not a collectable milsurp, there is also an orange oil and beeswax product that you can get at home depot (don't remember the name unfortunately).