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.
Many crayon artists (you can find a few online) use solvents to soften their appearance. It can be a wonderful look but, personally, I love the pixilated look the crayon creates when applied just as is. Look at the art examples in this post _ you can see the speckled look crayon has when applied in layers. This adds to the realism, especially when creating an out_of_focus background, such as in these two images.