> would be I happier if I just cleaned the chain and dropped it in a pot of hot wax?
Quite possibly. Chains stay clean and efficient for longer without intervention. And can be handled without dirtying your hands. It's nice. Other drivetrain components wear slower because there's less grit and the chain stretches more slowly.
> is there anything to look out for?
Main downsides:
* For bicycles, a lot of chains (Shimano, KMC) come in some kind of factory oil/grease. Stripping that off takes time and working with solvents. Fine if you have time and a garage, less great for busy people in apartments. I think some manufacturers sell dry chains (I've heard YBN does).
* Heating wax up is slow. I use a $12 crockpot and it takes a couple hours. Obviously, it's not like it takes any effort on your part, but there's some built in latency. ("Low" heat is about right in the steady state, but it melts faster if you use "high.")
* Again for bicycles, some kinds of quick link / master link wear quite quickly and can only be reused a handful of times (e.g., Shimano 11 speed). So one surprising expense in repeatedly removing chains to hot wax is the consumption of quick links. Can be mitigated with different brands of quick link, and/or using drip-on wax a few times between hot waxes.
* A freshly waxed chain will be stiff from the hardened wax. So a pre-install step is going through every link in the chain (on bicycles, typically ~110-120 links) and making sure each one rotates freely around the pin. This takes a few minutes.