Hi Joe,
You might try walnut oil, which polymerizes (hardens over time) rather than mineral oil, which forever stays liquid. There are two common routes there. You could wet sand with walnut oil then use the Beall buffing system to put a carnauba wax on. Or a cheaper route initially would be to sand with straight walnut oil, then try the carnauba wax friction polish from Mike at Doctor's Woodshop. The idea behind the friction polish is that you apply it with a rag while your piece is turning on the lathe. The friction/heat created melts the carnauba which Mike has suspended in the walnut oil by some trick of chemistry.
Good luck.
So I think I'm reading two separate questions here. One, you use mineral oil & beeswax; and two, you would like to reduce the amount of sanding dust generated, or to reduce effect of sanding dust landing on your work.
At the coarser grits, I don't think sanding dust stays suspended in air that much. I've tried wet-sanding with walnut oil as a lubricant. I personally start at 280 or 320, because I found that at 120, 150, etc., my sandpaper clogged before I got my toolmarks removed. Dr Woodshop recommends starting walnut-oil-lubricated-sanding about 200 or so. I no longer wet-sand with walnut oil, but I have a dedicated dust collection (if I remember to turn it on
).
While DrWoodshop's friction polish probably contains wax (I'm not near my bottle of DWFP, so I can't tell you), "traditional" friction polishes are mixtures of dewaxed shellac, alcohol, and a polymerizing oil (such as Walnut oil or "boiled" linseed oil). The heat drives off the solvent (alcohol) and helps polymerize the polymerizing oil. I've used DWFP, and I really like it.
Multiple coats of friction polish (with some amount of waiting) help deepen the shine, but don't really build up a perceptible film. If there is wax in the friction polish, I don't know how well additional layers would stick to the first layer.
If you have patience and like a glossy (not just shiny, but outright glossy) finish, wipe-on-poly works pretty well. It does require many coats, and sufficient polymerizing time between coats (just enough time to be non-tacky, but not so much time that it's fully polymerized, unless you're willing to scuff and coat-on-top).
My opinions