It's not a bad idea to throw a little bit of wax on there at the start, but it's not necessary. I've had Hestra's for the past 4 years and I would say it's a good idea to give them a good wax job about every 30 days or when the leather starts to seem dry and lose it's suppleness. If you wax a little bit more often, it certainly won't hurt.
The best way is to start by taking a wet rag and rubbing the leather portions of the gloves with it. After this you may need to dry it off a little or let it air dry for a few minutes. The idea is to have the leather feel a little bit damp, but not wet (i.e. no visible water on the exterior of the glove). Once the leather is damp, put a dab of the wax on a rag or piece of paper towel and start to spread it around on the glove. As you spread it out, rub the wax with the rag/towel and work it into the leather. You know you have the proper amount of wax when there is no visible wax sitting on top of the leather, but the leather feels soft and slick to the touch. Waxing is a good thing to do and really does increase the longevity and performance of the glove.