Wax isn't about clean. It's about reducing the sliding friction.
I've tried slip-it and wax on my saw tables and the bed of my dewalt planer. I like wax better. It may take a little more elbow grease to apply, but it stays put longer. Butcher's wax, or other brands that contain beeswax AND carnauba are great. The beeswax will wear off, but the carnauba (which is much harder) will remain, and build up over time to provide a much more durable coating. Slip-it doesn't hold up anywhere near as long. It's not as slippery to the wood. And it ALL wears off.
Another thing, re: the wax coming off on the wood. Applying a paste involves wiping off the residue, not leaving a puddle like you would when you spray. Considering how much wax is actually being applied (not much) and how much remains trapped in the rag, (most of the small amount) and how long it takes the coating to wear off (many boards) I'm not too worried about how much wax is coming off on my lumber, especially since it's all going to get sanded anyway.
My most recent story involving wax involved the crosscut sled I built for my table saw. It's a long sled (~7' long... 2.5 feet on one side of the blade, 4.5 feet on the other) and there was a LOT of friction. I was worried that the rails were too thick, or something else was the matter. Then I waxed the underside of the sled, and it moves like it's on marbles. I went from having to plant both feet and shove, to pushing with one finger.
Use the wax, boys. But not on MDF. A) your work will slide around when you're trying to sand it, and go flying. B) the MDF will soak it in, and warp. Just because there's no grain structure doesn't mean the pulp won't expand when it soaks in a foreign liquid. If you doubt that, dump some water on your table. And the wax will soak in and stay there, leaving you with a permanently warped surface. (I've seen this with other crosscut sleds made with MDF)