Whilst most colored pencils are wax based, some brands use an oil based lead, like Faber Castell's Polychromos. These pencils are very soft to apply color so will cover every fibre of the paper with their bright hues, but they are also very expensive and should only be considered if you are looking to take your art to the highest level.
Some colors are more transparent than others. Some colors are very opaque. Test your colors on a separate piece of paper to see how they work together. Too many layers of crayon can make the colors resist each other. This can make it harder to add more color. Use as few colors as possible to get your end result.