I remember there being a recipe for tying wax in the following book:

Fly-Tying: materials, tools, technique by Helen Shaw (1963)

I found the book at our local library, but havn't looked at it in a while. If I remember correctly, the hard wax was partially dissolved in some mineral spirits to make a past (small ammounts prepared, the rest left as a hard chunk). Then she would use a small dabb of this to prepare the thread for dubbing.

Interesting book, pre bobbins and most of the other tools we take for granted now. But solid techniques for what I noticed.

BTW - take this for what it's worth, I just started fly fishing and tying this past spring, so my opinion is based on a very shallow pool of experience.