You may not know this but all hair has a direction it wants to grow. Some areas like to swirl clockwise or counter-clockwise, some grow straight out, some grow left, others right. What you need to do is get them to grow out to the sides and then up into a curl, the length of which you decide. What a quality wax will do is force the hairs into the uniform direction you decide. This is kind of the same effect as "bed head" or "hat head." the chief difference being that this hair training is on purpose and will be repeated daily until these new habits become second nature to your moustache hairs. Believe it or not, you need more wax during the first three months than after your handlebar moustache is fully grown.
A good moustache wax has both wax and oils. These provide the holding power you'll need (see training section, above). A side benefit these ingredients is that they provide a barrier of protection against the irritation of newly growing hairs.
A good moustache wax also adds oils to hair that probably got washed off when you rubbed a bar of soap all over it. I'm no Surgeon General and I am making no medical claim. That said, ladies tell me hair needs a little oil to look better and last longer.