Wax On, Wax Off
Applying paste wax should be the last step of the furnituremaker's finishing process. It's like a lubricated final sanding that also allows you to adjust the sheen and make subtle adjustments to color.
For closed-pore woods, such as cherry or maple, I like to use clear paste wax. (Find Johnson's floor paste wax in the cleaning-supplies aisle of most any big-box store.) But when finishing furniture made from open-pore woods, such as walnut, mahogany, or oak it's common to apply colored paste wax as a final step. This is usually a black or very dark brown wax. (I prefer Black Bison from Liberon.) For the Arts and Crafts, Craftsman, and Mission pieces I've built using quartersawn white oak, I've used a dark wax on every piece. It's a standard part of my finishing regimen.
Let's look at the effect. In the quartersawn white-oak door frames, below, the wax gives the wood more richness and depth. The overall color darkens slightly, but it is more about emphasizing the pores.
Recently, I finished up a commission to replace the worn-out painted plywood doors on a mid-20th-century modern credenza with mahogany veneered doors. I used dark-brown wax there as well. In this case, the mahogany veneer on the body had already received a factory finish, which I suspect was a dark-colored glaze (sort of a "wash coat" that only leaves colors in the pores and corners) topped with a tinted topcoat.
However, the doors I built were made from bare mahogany. Instead of trying to replicate the formula of the glaze and tinted topcoat, I approached it differently. After several rounds of testing, below, I found that first applying a coat of amber shellac, followed by several coats of clear wipe-on polyurethane, then a final waxing with dark-brown paste wax, resulted in a pretty good match to the original finish.
One of the great benefits of applying a final coat of wax is you can buff it to the desired sheen, from matte to shiny. I usually apply it using fine (0000) steel wool to knock off any dust nibs in the finish as I go, then buff with a cotton rag. The result is a deep, ultra-smooth finish with a sheen tailored to your taste.
So, if you're new to finishing, or just new to wax, try it out on test pieces and see what it can do for your finishes.