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.
A Variety of Pressure Creates Emphasis. If there are some areas you want to accent, you can press a little harder on the crayon and end up with a darker, more intense color. This is another good reason to color lightly for full coverage. For example, in this picture of the heart below, I pressed harder when tracing the lines within the heart and in the vein and artery openings. I did the same thing when coloring the muscles and the brain.