Its not all about shine,its aprotection layer on your clear coat.
Secondly, many factors are involoved while waxing.
1.Which wax do you use?
A good wax is good for car and a cheap wax is harmful to the paint.Simple is that.You really don't know what chemicals are used in preparing the wax you are using,whether the materials used are synthetic or natural.Different kinds of waxes of different brands are available in the market starting from Rs200 to more than 2lacs(yes, Zymol Vintage Wax cost more than $2500).But lets take it to a simpler side,you can use the Mothers or Meguiar's Waxes which are rated as the best waxes for an ordinary class.They surely have better chemicals than a cheap Rs200 wax.
2.How you are waxing?
Depends on your method of applying the wax.While applying the wax,the key is that apply a little bit of the wax,spread it onto the surface and buff it off.You really not need to cover any part of your car with so much wax.
3.Waxing plays its role on the clear coat only.It is totally non-abrasive and doesnt contain polishing/cutting elements.So it is totally safe for paint.Just check the rating of the brand you are using.
When you buy anything for your loved ones, you always choose the best thing out there.Same is the case with your car.Love it and it will love you.