the coloured wax would work over danish oil. have a google though because it may not be the effect that you are seeking. it will collect in the grain, so choose a darker colour than the golden danish oil colour. black bison wax is good, others are available.
steel wool on oak is a no no, because it reacts with the tannin. however, this is the reason for adding some to vinegar and using the solution to paint onto the oak- to use this reaction. It is worth trying that on some scrap, just for future reference. Any steel will do, I have used rusty nails before, you just have to leave it a day or two before using it.
if you can get some household ammonia, fuming is worth a go too on a sample. do it outside in a plastic container, and have a play with leaving it in for various lengths of time. You need to put something over the top after fuming, because it transforms the colour. I use shellac, but an oil will do too.