I use shrink capsules with a heat gun. I personally like the looks better. Although last year I got wax sticks that would fit in glue gun and put a dab on each of my bottles I gave away for Christmas. I also found an appropriate stamp to emboss that dab of wax. It was a lot of work and probably won't do it again. This year I found some small holiday stickers to add to the bottles. look online or in your hobby/craft store for the wax sticks.
Well I can say there are good and bad points to waxing. If you dont have proper cellaring conditions like temps or humidity then wax would be very good. It will block the humidity and not let your corks be exposed to mold. It will also stop the rapid acceleration of oxidation due to temp swings caused by expansion and contraction of the wine in the bottle making your wine expel S02 and suck in O2 through the cork. If you do have good cellaring conditions then it will prevent your wines from aging well and maturing.