How to lubricate toothpicks for model building?
Try bar soap or silicone spray. Soap is definitely slipperier than wax and you likely have some on hand. 

Silicone spray is super slick and useful in lots of situations. It will stay slippery longer than the soap which may be a problem if the pin is supposed to stay put once its in.

Maybe a bit of sanding with fine grit sandpaper would help as well, corrects oversized pin and smooths the surface for less friction.