Dick, I do the same. I don't burnish the string, but I do rub the wax in with the piece of leather. I've never noticed the wax not going into the string or have strings that failed early. I make my own strings and although I replace them frequently, they are always in perfect condition when I replace them. I measure every string when I take it off and so far, the maximum creep has been 1/16" on a 90-100" single cam string -after a year.

I'm sure that rubbing them hard with the leather might cause too much heat, but simply gently rubbing the was in, appears to work fine.