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.
Get even! Producing a nice even color with your coloring pencil is all down to pressure. Push harder on your page for darker coloring, applying little pressure will producer a much lighter color. It is tempting to put lots of pressure on the pencil to produce the darkest color _ don't do it! Too much pressure will likely cause you to break your pencil leads, produce a scratchy finish to your coloring and give you less control. Instead, try applying your pencil with a little less pressure and use small circular motions with the pencil to get an even finish.