I've always heard the claims that Neetsfoot oil will break down the leather. I don't know how true that claim is, but oil will migrate. As long as wax is below it's melting point, it is not going to migrate and it is close to being inert.
Paraffin canning wax has too low of a melting point and tends to be sticky at body temperatures. Beeswax has a higher melting point and would be better than paraffin canning wax. I say canning wax specifically, because there are some paraffin waxes with much higher melting points. But they are not as readily available.
The issue with carnauba wax is not the wax itself, but instead the additives. Some people allegedly have allergies to pure carnauba wax. But it could also be that they are allergic to the additives. But you can buy pure carnauba flakes. You could apply it by melting it directly upon the leather, or by dissolving the carnauba with a solvent that will evaporate after application.
https://www.amazon.com/Carnauba-Organic-Flakes-Pastilles-Premium/dp/B01CO5408G/
https://www.amazon.com/Organic-Carnauba-Oslove-Organics-multipurpose/dp/B01H7MZ8UA/
I was also planning to try my hand at making a leather pocket holster. I found this company in my search for horsehide:
https://www.thetanneryrow.com/all-leather/horween-russet-strips
They also have cosmetic seconds that are stained that are considerably cheaper. A pocket holster isn't going to be seen, so why not use a cosmetic blem? I also figure that I may not get it right the first time, so why not practice on cheaper cosmetically blemished leather?
https://www.thetanneryrow.com/all-leather/stained-russet-strip-bundle-5b2mw
Another thought that I had was that the smooth side should be on the INSIDE of the holster. The rough side being placed on the outside of the holster should make the holster more resistant to coming out of the pocket during a draw. Anyone have any thoughts about this? Again, as an experiment, why not use cheaper blemished leather?