This really depends on your objectives. If you use a grease or a liquid, it will tend to come off on your clothing. Clothing is a problem because cloth can either wick moisture away or wick it into contact with the metal and hold it there. Paper fibers do the same thing which is why it is not uncommon to see surface rust where steel contacted metal.
The wax products will be the least likely to transfer after they are dried. Especially not a hard wax like carnauba wax. That said, there is really nothing to stop you from taking one of the lubricant type protectants that bond to the surface and using it first, then waxing over top of it.
Then there is
old-school. Don't know how it does with clothing, but when a fitting coated with it comes up from underground 53 years later with no rust, NO-OX-ID must be doing something right.