..it's a good idea on larger saws. on dovetail saws, it would be an interesting thing to test. If a saw is so tight that it needs wax, I don't think much of the wax would make it into a cut.
At one point, I tried making a dovetail saw with no set upon getting the suggestion from someone else. If you only cut dovetails in thin material, it would probably work - wasn't very good in 4/4 cherry case.
I'd do as derek says - set the small saws instead - it takes very little.