Candle wax or beeswax is what we use on scuba diving drysuit zips - which despite being heavy-duty, are vulnerable, and expensive to replace. I've never bothered on ordinary clothes or sleeping bags, but it's not a silly idea.
A word of advice - never, ever use a pliers to pull a stuck zip on a garment you are wearing. A friend made that mistake and acquired a Terry Thomas like smile as a result