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.
This art therapy trend has yet to hit America, but because publishers have found it immensely profitable, it's probably only a matter of time before you find yourself shopping for a new box of crayons. And hey, why not? Coloring is a fun and joyful activity that is a much easier way to reduce stress than, say, dragging yourself to the gym. It just might get awkward if your friends find your completely finished Benedict Cumberbatch coloring book.