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.
Build your colors gradually, and layer them. Apply a light undertone, and build darker colors slowly on top. Crayons can actually be more difficult to layer with due to the high wax content. Don't confuse them with colored pencils! If you want the "look" colored pencil, just use that instead.