Mack,
Are you pulling the thread through a piece of brown wrapping paper, paper grocery sack same thing? After you apply the wax? This creates heat on the thread and melts the wax into it. You can actually feel the heat between your fingers.
I assume the thread we buy pre-waxed is run through a wax pot such as the larger sewing machines use. You could buy some of the wax and a pot from one of the sewing machine folks on here to pull the thread through. That would likely give you the heavy coating you desire. Try Bob Kovar at Toledo Industrial, I bet he has a pot to sell.
Buy a pound cone of the thread you like, mount it on a pedestal, run it through the wax pot and onto a hand winder on the other side or use a fractional gear motor connected to a shaft with a large spool.
That just might work for you.
ferg
By the way I believe I bought the linen thread from the Thread Exchange at : http://www.thethreadexchange.com/