Well, I figure the dirt and debris remain trapped in the wax on the outer surface of the string and never gets into the string itself. That grit can easily get into the string if it's dry and unprotected. And I don't care if wax snags a fps or two off my speed. It saves me money, allowing me replace my strings and cables half as often as the dry string speed freaks have to.

I wax to excess, but I don't let excess wax accumulate on the string. Even though it's old fashioned and considered passe, I still use the little leather pad. Wax, briskly rub the string/cables with the leather to warm up the wax and burnish it to a smooth finish. The excess wax comes off onto the leather.