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.
Concentrate on the basics. If you are just starting to color, keep things simple. Forget shading, burnishing, details and texture _ start off by block coloring and concentrating on keeping between the lines. Block coloring is simply the practice of taking your colored pencil and filling an area completely and evenly with that color. Get to know your pencil, feel the weight of it and practice control. Simply filling those spaces with color whilst trying not to go beyond the lines will help you master control and prime you for learning more advanced techniques.