Then you're probably applying too much. Natty's is one of the easiest waxes to use - try using a damp (not wet) foam applicator to apply and keep spreading until you can barely see it on the panel, once it's cured it should be really easy to buff off. If you're using it in the sun, keep an eye on the shorter curing times to avoid baking on.
That said, AG HD is a decent wax and quite easy to use itself. I'm not convinced that it's 3x the wax that Natty's is to justify the 3x price tag at Halfords myself, but it is good.
+1 natty's is a doddle to use..both on and off