RE: Best place to buy natural toys?
Do a search for waldorf toy companies. I'm not sure exactly what the finishes are but they are probably your best bet. I think most of the things I've seen finished with beeswax are larger items like play kitchens, etc. like you said. I'm not sure that i've seen many small items finished with it, but I could be wrong.
www.seasonsnaturaltoys.com (this company is kind of local to me...I'm disappointed she no longer has an actual brick and mortar store. The website is kind of confusing but she has some cute stuff)
We bought a bunch of German made toys recently at the store Tuesday Morning and they all have non toxic finishes. I did some reading and Germany has very stringent requirements for non toxic finishes...the wood is dyed with a vegetable based dye that even if the child drank the dye straight up, it would be non toxic. The toys have some special German safety certification mark on the boxes. One of the companies is Heros toys, one is Nemmer, and a few of the others are wrapped already so I can't double check for you. I know Europe has more stringent requirements for formaldehyde in furniture, toys, etc.
HTH a little bit. I'd start w/ some of the waldorf type companies and maybe ask them more about the finishes.
Mama to DS-2004
and a new addition-ds born march 2010