I, also, use parafin wax for the soles of my planes. More often, however, I use a soup can with a t-shirt rolled up and stuffed inside which I have soaked with with 3 in 1 oil. It works exceedingly well. It’s technique popularized by Paul Sellers. Either method – wax or oily rags – works. You don’t have to worry about marring the finish. There is so little oil transferred that it’s immaterial.