You can buy cheese wax at cheesemaking.com or most other places that sell cheese making supplies. I comes in red, yellow and black. To wax cheese you melt the wax in a double boiler and either dip the cheese in the wax one side at a time or use a brush to paint the wax onto the cheese. The wax needs to be hot, but not too hot or it won't leave a nice coating on the cheese.
Beeswax is fine for waxing cheese. I haven't used it because it is so expensive. Cream wax is not colored and would be a good choice to use alone (without hard cheese wax) for some cheeses. Another choice is to use a muslin bandage coated with lard or butter. This allows the cheese to breathe and can produce a superior product in many cases.