I have no idea, that's why I posted it, to see if anyone else did it, before trying myself.
I'd think the sheer heat of the chain would liquefy it and pull it into the inner rings (if it's like a bike chain, really) and heat would keep re-liquefying it, but I'd be concerned about the wax gathering grit... that said, a lot of bicycle chains use wax lube, so I dunno.