I've tried several ready-made waxes for my moustache, and the best was Penhaligon's, which I think was a special for Movember a few years ago. I usually make my own, which is pretty simple and quite amusing to do. Basic ingredients are pure beeswax, a carrier oil (shea butter, coconut oil etc.), a pinch of resin and an essential oil for smell (for me, lavender, ylang ylang or petitgrain). It's a bit hit and miss for consistency, but it can always be remelted and rebalanced.
I decided to make some myself, as I had large amounts of beeswax and resin, which I use to make the wax compound for "waxing in" melodeon reeds. The recipe for that compound wasn't suitable, as those reeds are intended to be fixed securely in the instrument for decades; not quite what's needed for moustaches.