Before the first application, I rode the bike and got the chain nice and warm. Then I thoroughly cleaned the chain using WD-40 and a brush. After a good wipe-down, I sprayed the chain. When I got back to the starting point, I wiped the excess wax off.
Assuming the chain isn't absolutely filthy or I haven't been caught out in the rain, I wipe, spray and wipe every 500 miles.
If you want a ludicrously pretty chain, just straight wd40 works fine so long as you are prepared to use it often enough.
I second Il_Vento's suggestion of Maxima Chain Wax though - its sticky and clean so it doesn't end up all over your back wheel, and seems to protect very well. I've found it lasts well in the dry, but needs re-applying a couple of times a week if theres any rain - I park my bike at work right on the coast every day, and my chain (surface) rusts very quickly if its been ridden in the rain and hasn't been lubed recently.
I _try_ to make a habit of lubing it every monday and saturday morning in the dry, and every night when I get home if its wet. I _usually_ spray the chain with wd40 and wipe it down with a rag to clean it, then spray a light coat of wax on, but if I'm in a hurry I'll just squirt on another coat of wax and deal with cleaning it next time.
When I'm out touring on a multi-day trip, I'll just spray on some more wax every night (and at lunch too if its a big ride, say more than 400km before lunch) and deal with cleaning when I get home.
I've found long rides on dirt roads and trips where you ride through (sprocket deep ) water crossings get the chain _really_ nasty really quickly. On those sort of trips I'll completely soak the chain in wd40 every fuel stop and scrub it clean and relube (with Maxima wax) every night.