When I waxed my first cheeses I used a brush, and it didn't really work. It was messy, there were drips, and the finished result looked far from professional. One problem was that by the time the wax has gone from the pan to the brush to the cheese, it's cooled off a bit so that it doesn't give a smooth finish. Now I dip, it's a lot easier, less messy, fewer drips, and the finished result looks great. The direct heat also seems to kill off any mould critters that might be lurking on the surface of the cheese.