No, the wax won't hurt the blue, but you do want to remove any oil or grease before you apply it. I presume you mean polished blue, rather then blue over sandblasted steel. The wax won't hurt that either, but it'd hard to rub out. The advantage of Johnson's Paste Wax is that it doesn't have any abrasives in it as some automobile waxes do. You can of course, go over the wood too. Duck hunters have used wax in place of oils or grease for years, and it from one of them that I learn about this technique.