Chain lube is not always your friend.
The chain is the only friction surface on a bicycle that needs frequent attention but there are good and bad ways to maintain it.
For a chain that is dry the proper technique is to drip lube onto the chain and then follow up by rubbing the excess off with a rag.
This part is key because any lube that is on the chain will cause dirt to stick to it, which acts as an abrasive and wears it quicker, not to mention making it all gunky.
So the idea is to have just enough lube on the chain to keep it quiet and smooth, adding more oil is not a good way to improve shifting and is in fact worse for the chain.
The dry wax lubes are fine but getting rid of the excess is key because the wax itself can build up on the chain.
As for what lube to use, thinner is better (any of the bike specific models work well), again to attract less grime.