Try YBN quick links, 6 pack for $20 or so and each is reusable at least 5 times, I think they work well with all correct-speed chains.
Apparently the YBN chain coatings also play well with waxing, I vaguely remember that KMC performed least well with wax but I haven't used them myself yet, only DuraAce, Ultegra and YBN.
To be quite honest all the negatives I listed are making rethink chain waxing. Im seriously considering going back to wet lube like NFS or even the Tru-Tension BananaSlip and just buying a new chain every 2k or so miles. Mainly because Im feeling like Im a slave to the bike instead the bike being my slave. These thoughts include disk brakes, a different discussion thread.