Most bolt holes I don't worry about. If the bolt hole is threaded the bolt will ream the paint out when you reinstall the bolt... this is just what has worked for me it is not a bad idea to cover the holes like you suggest. Cotton, a wad of paper or even a wad of paper towel should be plenty.
I have never used wax for covering parts. I don't get too anal about taping stuff like the machined surfaces of the turret off. I just slap some tape on and trim with a razor blade. If a bit of over spray hits an area like the turret machined surfaces it is really easy to remove with a razor blade or steel wool with a bit of paint thinner. I worry a lot more about doing a good job of taping things like badges off where I would not want to clean them off later with steel wool and ruin them.
Your column base and arm have some rust coming through the paint. I would surface sand this with a Scotch bright pad but I would not worry about getting every trace of rust removed. Hammerlite sticks very well to metal but it sticks even better to sanded down rust. The sanded down rust gives the paint something to bite on. I have used other paints that don't do well with a bit of surface rust... but Hammerlite and Rustoleum hammer finish paint both adhere very well to rust that has had the surface powdery stuff sanded off.
For rattle cans I recommend thin to medium coats. The can will tell you after what time it is best to recoat. It seems like I usually apply a second or third coat after about 15-30 minutes... before the base coat has cured. This allows the top coats to interlock with the lower coats.