Wax play is amazing for anticipation and teasing. Especially if you have any glass or steel toys you can put in a cold place before for changing temperature.
As KellyMichelle said, use specifically designed wax play candles - not normal ones!
Agree with Master Jay re making sure you both know where is ok and where isn't! Nothing more of a turn off than an uncomfortable body part because of some wax.
Best place is on something you don't mind getting ruined or can be easily cleaned, a table or a wipe clean sheet is good.
To really increase the sexual tension and frustration, use a blindfold so that they have no idea where the wax is going to fall or when it will come. Once you are a bit more experienced and trust is built between you, bring in some restraints so everything is laid out for you with more surface area to comfortably use.
If there is no body hair, some of wax play that is nice is the peeling off of the wax, but there is a serious knack to it that you'll learn the more you play! Too hard handed and it can crumble or break down, just right and you get a little pulling sensation on the skin.