According to this LifeHacker article, some brands of lip balms actually cause the problem of dry lips rather than solve it.

America News Now spoke to dermatologist Gary Slaughter, who found camphor, phenol and menthol were the ingredients in bad lip balm. When you spread it on it seems to soothe at first, but quickly dries up and requires reapplication. Additionally, OL (which indicates alcohol) and salicylic acid are two more ingredients that may cause some people irritation. Look for these ingredients before buying. If you don't see them, you should be good to go.

Further, is applying petroleum jelly on your skin harmful? It seems to be a widespread belief even though the Wikipedia article claims otherwise. For example, this discussion on the above article.

That article actually suggests that people use petroleum jelly on their lips. Are you SERIOUS? I get funny looks at the dentist when I refuse it, but you are not putting a byproduct of gasoline on my body. NOT HAPPENING.