I wonder what the wax is that they use to cover cheeses? It's slightly formable when cold, presumably safe in contact with food, so might be a better option than paraffin wax.
source
A bit of web surfing and I find out about
microcrystalline wax which is refined from paraffin wax to give specific characteristics of flexibility and hardness. This is blended to food grade paraffin wax to give a more flexible wax for coating.
Take care if you're experimenting though!