I put it on the night before a show, after several baths.
Add a bit more on the morning, put on travel boots. When we arrive it is usually dry and just brushes out like chalk. The good thing is any dirt usually comes off when you brush it out.
Try the Peasridge Chalk - (google it if you want to buy some) - damp the leg then apply the chalk (it is loose rather than in a block) - put some onto a sponge and dab it on. Not sure how it works with hairy horses though!