Try it. I find that it is especially good to use with itty bitty brass screws used to attach fancy hardware bits to boxes and whatnot. Without some wax, even with precisely sized pilot holes, it's very difficult to get a screw in tight enough to do the job without mangling the head.
I poke mine in a can of Johnson's paste wax. It works great, and it's easier to get the wax on than using gulf or beeswax.