Most of the bow wax today will break down with less heat than the wax from the older days. The reason why you rub it in is so the wax will heat up, slightly meltand work it's way into fibers and not just stay on the outside of the string. This will ensure that all of the string fibers are treated. You can use a piece of leather if you like but I just use my fingers. I have found that just about the time my fingers are getting too hot the wax has worked it's way into the string.

Just rub the wax from the tube onto the string (do small sections at a time) and rub it into whe string between your thumb and forefinger. Move to the next section till your done.