When they are clean you can put a coating of sealant on them to stop the soot sticking. I suppose wax would provide a similar barrier, but my limited understanding is that sealant is suitable for exhausts because it withstands much higher temperatures than wax.
I sealed mine with chemical guys Jetseal 109: wipe on thinly (any more is just a waste), leave 20 mins and wipe off. When you wash them afterwards they clean much easier, then reapply every one or two months. Alternatively you could use chemical guys V7 hybrid sealant: just wipe it on, then wipe it straight off: done. But the protection isn't as long lasting, so I just wipe them with V7 every couple of weeks. Just takes a minute.
[P.S. I'm not a chemical guys salesman, I just saw their P.R. videos and thought the stuff looked easy to use without me being able to screw anything up - other sealants are available]