I haven't, but my friends have. The red was always good enough not to warrant any change.
My friends said that the blue and purple Dax Wax's weren't worth it, in the slightest.
There is Dax Shampoo, never bought it though. I'd either wash it several times in the shower or I'd use a little bit of my sister's 'Trevor Sorbie' shampoo which seemed to get rid of it in one or two rinses.
I've since started using the Trevor Sorbie Men's shampoo, which is quite good too. Costs quite a bit though.