There are several threads on this. Basically, wax is not a good choice. Better to use a good chrome polish product. I have been using Mothers Chrome Polish because I had it in the cabinet. There were several other products mentioned, but I don't have experience using them on chrome, particularly pipes. Search on "polishing chrome".
Wax, or any other coating will just burn off. Clean them good, maybe some chrome polish for the cleaning effect if there are small tar spots. Most of the time a damp microfiber cloth will be all you need to clean them but a little Windex really cleans them up good.
I've put wax on my pipes. It stayed on really great, making the water bead up and everything... until I went for a ride.
Yeah, the wax disappears fast when the pipes heat up. Don't think it hurts anything. Just a waste of time and wax. About the only time I do it now is in the winter when the weather gets rainy and snowy enough that I have to store my bike for a couple months. It's a wet cold climate here in the Northwest and I figure the wax is what's kept me from getting any rust on the pipes for those couple months.
I have been using wax and sealants on my exhaust for over 40 yrs. If you want them to look good you need to put something protective on them. I'd be careful with some chrome POLISH as it is made to clean with an abrasive and will screw up your chrome over time.