I'm going to give you a little different of a take of how I approach it. Maybe a little different viewpoint will help.
I don't think of CA as a finish. To me, applying a finish is like painting - you want layers to be smooth and blemish free. The way I think of applying CA in terms of encasing the blank in plastic. I apply it thick and I dont worry about the ridges as I apply the CA. I also skip the BLO. Since I am encasing in plastic, it doesnt make any sense to be to add layers of oil inside my plastic encasement. Besides, I never managed to get a good high gloss result when I use BLO.
I start by turning the pen a hair (3 - 5 tousandths) smaller than my target size, then start apply coats of CA. I start with a couple coats of thin to seal things up, then use medium to build up my platsic encasement. I use accellerator between each coat. I build it up really thick - at least 1/100" larger than my target size.
At this point things are a bit rough. Sanding this much off is time consuming and sanding can contribute to Out of Round issues. So, I make a light pass or 2 with my carbide scraper (I use a woodchuck pen pro with R2 insert) just to remove the roughness. Check to see if there are any shiny spots- if so, make another light pass. It's amazing how smooth you can get things with a tool like this. I re-measure the blank and as long as I am above my target size, I'm in good shape. If I took off too much then I go back to the CA, and this time put it on a little thicker. In time you will get a good feel for how much to put on.
At this point I have basically a platic blank, and I proceed list like I would when finishing a PR blank. The only difference is that CA is a bit harder than PR, so I start sanding wet at 600 grit (with PR I can start at 1000). If I'm still more than a few thou over size, I'll use the wood chuck a little bit more before starting to sand.
Work through all grits (wet) up through MM 12k. Stop the lathe and go with the grain for EVERY grit. Lastly, buff. I use blue rouge as it seems a tad finer than white diamond, but you would need to carefully examine the pens side by side to see and difference between blue and white buffing.
Waxing makes no difference to the gloss I get. IMO if wax helps your gloss, then you need to work on your finish more. Wax wears off quickly, and if your gloss relies on it, so will your gloss. What wax does is makes wiping off finger prints easier.
Also, if you see ridges in the gloss "gleam" when you hold the pen up to the light, then you either did not stop and go with the grain on every grit, or did not spend enough time on one of the grits.
I hope this helps.