Most finishes of the "wax/oil" variety are brushed onto the item at a heat warm enough to cause the stuff to melt and run into crevices and pores of the metal. The temp isn't critical but can be too hot and actually burn the finish stuff away before it does any coating. If wax smokes, I wait a little while until it melts and flows well without actually smoking. Some finishes (like Linseed oil, parrafin and bee's wax) can burn to a darker finish if applied to hotter metal. This can be used to advantage if you want a darker finish but can be a disadvantage if you want the "natural" patina of the metal to show thru.
I use a natural bristle brush (a 1" paint brush, or a chip brush, or a basting brush) because sometimes I try to start brushing stuff on before it has cooled enough to be effective. When this happens, the bristles burn and I don't want to have some melted nylon gunk to clean off of the piece before I can continue. The natural bristles will just shrivel up and will brush off easily.
As you experiment with different finishes, you will develop a feel for the proper temp that gives you the desired finish.