Lots of people will tell you that wax is bad or unecessary. Well, I started my second set of dreads just a few weeks ago. With my first set, I used wax from the start and applied it maybe a couple of times a week. Looking back at pics, I can see that my dreads were really scary neat and too-waxed.
When I started this set, I used a bit of wax about the size of a peppercorn on each one, and I haven't used any since. And already I can tel that this set is doing so much better. I've got knots going on now that are equivalent to what I had about three months into my last set.
Look at it logically: The idea of dreads is so get your hair to mat together. How is it supposed to do that when all the strands are coated in a water-resistant waxy barrier?
Wax really isn't great for dreads. :]