I occasionally use both words, "Aux" and "Auxiliary". When I pronounce "AUX" it is the same as "OX". When I say Auxiliary, I tend to slack a bit: "ogziliary". I think our differences are fully explained due to regional dialectical differences, none of which can be more right than any other.
Another question on the same topic: Do you enunciate the "iliary"? Or does Auxiliary rhyme with artillery?