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 few years ago, I wrote a book about realistic crayon drawings. What a joy it was to create, for I had brought my childhood dream into my adult professional life. I wanted to share it with others, for few knew that crayons are actually a wonderful fine art medium. They're not just for kids!