I tried bag balm with Kane, but he didn't like it because it has a minty smell to it. If your dog doesn't like it, either, try Musher's Secret. Musher's Secret was developed for those who mush with huskies and malamutes, etc.
Whatever wax or balm you use for your dog, make sure you rub it on their pads AND between their toes. If you don't rub it between their toes, snow will build up between there, melt, and form ice, and it will cut at your dog's feet.
I personally don't use anything. I walk him for short periods and I live in a culd a sac and rarely do they plow or salt. Once I return home, I wipe their feet off and dry them really good especially between the toes in case they get salt on them from the driveway. I do have a nice sweater for him because Toledo gets cold in the winter and he shivers when walking.