Beeswax is a new one on me, but I think the point is to use a non-migrating lubricant to prevent galvanic corrosion.
Use whatever you use on your pedal spindles. The same anti-seize you use on your spark plugs will work. A very light coating of white lithium grease is a good choice too, though with grease you need to be very careful not to apply any more than you need, since it will attract a lot of dust and grit if it migrates out of the threads and into your cable.
But I like the idea of beeswax. It's cool and a little retro - besides being non-petroleum. And it seems like it would migrate less than any kind of grease. Make sure you get pure beeswax, not something with additives that might corrode your parts or degrade and get sticky. If you don't have a winter farmers' market in your area where you can get it right from the beekeeper, try a candle shop or a craft shop that carries candlemaking supplies?