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.
Overlap Colors to Create a Blended Look. I like to lightly color the dominate color first and leave a bit of paper exposed for the wax of the second color to cling to. In the liver I colored (below), I started by coloring a layer of red, then I colored some brown on top. Then I colored more red over the top. I find this kind of layering to be really fun!