Yes use it on the thread and the awl. I stab the awl in to the wax. I have a piece stuck to the base of my pony so its always there. If the thread does not say waxed its not. Use the technique shown in the Al Stohlman book and wax a piece of thread. Once you see a waxed piece you will know the difference when you pick it up. For one thing waxed thread is never totally limp.
FYI when I stitch I use a champagne cork on the back side to push the awl into. I have also used a wine cork. As you can see there are many ways.
Nice pony. If you have not done so, line the jaws with some leather, grain side out. it will protect the project you put in the jaws.
Basically if you use 6 foot lengths instead of trying to pull one long piece you will waste LESS because it wears out the thread to pull a really long piece through the holes again and again. With shorter pieces you do not throw away as much. It really does save thread.
Michael