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I did when I just started out, but not for a long time.
If the chain is wet and dirty after a wet ride I give it a quick wipe with a rag. Just stick it straight in my slow cooker of wax. I have a dedicated cheap one set up in the garage.
About 4 years on and I'm only just about to replace the wax with a fresh 500g. And that's using it across 5 bikes.
I've personally been really impressed with waxing for someone in my position (house with garage rather than flat, doesn't ride a crazy mileage per week, generally doesn't ride in poor weather). I'd recommend for anyone in a similar position.
hazzelfrazzel-
Interesting. I ride approx 300km a week and am in Cornwall so a lot of that is in really crap weather though I ride with full guards when the weather is bad. I've got one of the silca wax melting systems which seems to make it a doddle, especially not having a garage to do it in, but I'm trying to figure out best approaches as I often ride 30km to my studio and then can be there for ~8 hours before riding the 30km home again. I saw silca recommend microfibre towels so I was going to get some of them and store a bunch at home and a bunch at the studio.
ghostface
Nice one. Do you use boiling water first as per the silca videos?