Is beeswax ok to use to keep a screw tight?
Wax will help make it easier to insert a screw (especially into wood) but I've never heard of it helping hold a screw. 

I think what you want in your case is a product known as Thread Lock (Brand name: Loctite). This is essentially a glue that you apply to the threads. If you've ever taken apart something and noticed a blue (usually) substance on the threads, you've already encountered this product. It comes in a few different variants (usually differentiated by color) depending the strength you need and how likely you are to remove the screw.

See this manufacture for an example: Loctite Threadlockers.

I have no association with this product.