I haven't used a whole lot of waxes but Collinite 476S is a very nice paste wax. Cheap and durable. FK1000 has a similar price and has gotten the nod from many hear, although technically it is a synthetic paste--not a carnauba. There are many others that I haven't tried.
2 ways to 'foam' your car- a foam gun (Gilmour is what most use) or a foam canon using a foam lance/air compressor. The former is less expensive and more versatile--you can continually foam the car and have your wash media in your other hand. The benefit to this is continually replenishing the the paint with lubrication and flush dirt off instead of just moving it across the paint--reducing the potential for swirling/scratching the paint. I like using microfiber chenille mitts like
these. Sheepskins are nice too.
Similar to how I use the foam gun:
How to Detailing Video - Foam Gun
Foam lance:
YouTube - Snow Foaming The ford focus ST
Paint thickness gauges measure how much paint is on your car both in mils and microns. They aren't an absolute must to have, especially on newer cars that are only getting a light polish. However, I would never want to do extensive correction with heavy compounding or wetsanding without one, especially if its old, original paint on a classic or exotic.