WD-40 is toxic and you'd be better off to NOT use it at all.

MSDS Sheet

It is a solvent, so it's an "anti-lubricant." Your chain won't appreciate that.

I use Citrus Degreaser and then lube up with a wet lube. I used to use White Lightning, but that consists of solid components that don't dissolve, so effective lubrication does not take place and the chain wears more quickly. Pedro's Ice Wax is a good dry lube, but it wears away quickly, so it's not beneficial to those who do long rides.

One of the biggest problems with chain lubrication is that people over lube. They put a lot on and leave it. What you should do is put on an adequate amount - and place it on the inside of the chain. I like to spin the cranks a few times and let it settle for about 15 minutes. Then, use a dry rag, spend some time your bike, and wipe the excess lube off. The outside of the chain isn't what needs lubrication - it's the inner parts. This will keep grime and dirt from building up so quickly.