Soap’s good. Paraffin is okay (albeit not as good as beeswax). Butcher’s or carnauba paste wax is good, too.I'll have to try the beeswax polish on screws. Back in my early woodwork related learning days, (the 1960's/early 70's) it was soap for screws and I always keep a lump of good quality pure soap on hand.
I recently bought the wrong beeswax - I read the description wrong and it turned out to be a hair product (oops!!) - but it has proven to be great for lubricating wood screws and also works wonders for keeping rust off of chisels and plane beds.