I bought my first real cue, a McDermott with money I saved from my first job. The threads were wood like they are and I was paranoid about cross threading or binding. I rubbed beeswax on the metal threads and worked it in by screwing and unscrewing. I played with that cue for 20 years and it was never an issue. In fact the wood threads on it look almost new, where if you look at a random one from that era they are usually in worse shape.
I don't know what to do with this info but beeswax doesn't hurt the threads any or cause them to be dirty. If anything it protects them. Now if we're talking soap (especially non lard based like detergent soaps) then it can draw moisture. A soft wax would probably be bad also.