Timidtom's method with either wax or oil is the manufacturer recommended one for best life, and it was often done at one time on motorcycle chains before they became X or O ring types. The full version is:
Remove chain and soak in paraffin, agitate to remove dirt.
Drain, then repeat with clean paraffin.
Hang the chain up to drain and thoroughly dry.
Then place the chain in an oven tray with sufficient hard grease to cover it when melted and place in the oven at low temperature. (remove weekend joint first)
After half an hour of the grease being melted, remove from oven, hook up one end of the hot chain and hang it up to drain the surplus grease.
When fully cooled, refit the chain. It will then be in the state it was manufactured, grease impregnated throughout.
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