Thick coat of unbuffed wax to protect in the winter?

I saw this mentioned in a thread a while ago and wanted to hear your thoughts on this. Apparently some people put a thick coat of wax on their car and leave it unbuffed over the winter to protect it. Is this a proven practice? Does anyone here do it? Is there any risk involved in doing this? Is there a certain wax that should be used?

It sounds like a reasonable idea to me, I might try it this winter.