A common misconception.
A polish is abrasive and removes a very fine layer of the surface of the paint - hence why you shouldn't do it too often!
A wax is a sealant which protects against the elements and it also makes the car look glossy.
So for a proper arm breaking session; Wash -> Polish -> Wax
Usually polish on either special occasions or every 6 months or so unless the paintwork feels like sandpaper. One thing for sure though - if you polish a car, don't ever leave it 'naked'. Wax it straight away to protect the paint, otherwise you may as well not of bothered polishing it!