01HondaCR,
Steel lasts longer than aluminum, but it will ruin your chain faster than aluminum also. Bottom line is that any sprocket needs to be of the same pitch as the chain. If the chain is stretched, it will want to deform the sprocket. If the sprocket is too tough and resists this deformation, it transfers the wear back to the chain itself.
The crud you have on the sprockets and things is due to the fact that the lube you are using attracts dirt and makes a hard to clean paste out of it.
Dry a dry-film lube and that problem goes away. Many dry-films will have a solvent base and will actually help to clean the friction surfaces as it's applied.
Wax, or tacky parfin based products, are the worst things you can use. They don't get where they need to go, they dry to a sticky crappy mess, and they have less lubricity than other lubes. Might as well lube with Elmers glue if you use wax.