I’ve waxed my chain lots. I love it! You can degrease a chain with kerosene or Mineral Spirits (which is definitely at Canadian Tire if you can’t find methylated spirits. I also boil my chain with a bit of degreaser in an old pot.
I go old school and use paraffin wax mixed with some paraffin lamp oil. Works brilliantly and feels like I am gliding on air! Don’t start a fire! 