I use Minwax Paste Finishing wax. I've also heard recommended Johnson Paste wax.
A lot of turners use Renaissance wax/polish, but it's a little rich for my wallet. Liberon Black Bison is also highly recommended, but again it can't be that much better than Minwax for the price.
As far as making it yourself, it could be done. But I bought my can of Minwax several years ago for a few bucks and I use it on everything. I still have at least 1/3 of the can left.
I use tinted Briwax as a finish on small items that don't require a protective finish. And clear on oil based (poly) finishes. It contains toluene and will eat thru water based poly. Actually, I just like to sniff it! Otherwise, Johnson's fine.