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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.