I wonder if you got the same lanolin stuff as I did: I bought some DAX on eBay, the label said in bold letters "100% Pure LANOLIN." After it was delivered, with jar in hand, I could see the small print, before the bold, added "Composed with." The stuff was a typical "hair goo" emulsion. At one time Dixie Gun Works sold tallow; but, it's no longer listed at their web site. I don't know if it's out of stock or discontinued. Perhaps a little paraffin (canning wax) will stiffen-up your lube. As long as your beeswax is least 1/5 of the mix, you'll probably be fine.
You said your cookies are very sticky, I'd call mine tacky. They'll stick to your finger tip (unlike the dry wonder wads) which aids loading, but leave your finger dry. If I squeeze some into a clump, they'll stay together, but separate easily.
What material are you using for your wads? My first try was with felt weatherstripping from the local home center, it turned out to be made from synthetic fibers and was a disaster. Now I get dense wool felt from durofelt.com.
Humm… I just had a thought: When you said "Grease cookies" I thought you were talking about home made lubricated felt wads. Is that what you mean, or are you making Wonder wad replacements that are 100% lube without any felt?