Bees Wax or Microcrystalline Wax:  keeps thread from fraying; protects thread from adverse perfumes, oils, and body chemicals; adds layer of protection from the sharp holes of beads.   The microcrystalline wax (synthetic) does everything the bees wax (natural) does, only better.   It's also considerably less sticky to work with.

Thread Heaven: conditions the thread so that it doesn't get tangled up and knotted while you are working with it.   This is NOT a wax substitute.