We use beeswax, and I'm pleased there's a thread about this.
We have a hive and this is a pleasing way to use wax up. Our method is to manually press the honey out of the wax cells; then gather the wax and soak it in water to remove residual honey; the water is set aside to be used in mead; and then the wax is melted and rendered, sometimes more than once, to get rid of impurities. Then you have a nice chunk of wax you can use on your cheeses!
I find the beeswax has a lovely sour-sweet smell that combines nicely with the natural bitter aromas of the cheese. There's no great difficulty in removing the wax from the cheese - it's perhaps not as good as cheese wax but it's really not that big a deal, and if your cheese is made well (ie, no cracks, smooth surface, etc) then you shouldn't have huge problems.
Unfortunately in my latest effort I attempted to do several jobs at once - I added an impure block to a relatively good block of wax, figuring the impure solids would float down to the bottom, and proceeded to wax my cheese. That part went well; my cheese looks good and smells nice - but then when my wife tried to make a few small wax candles the mixture began bubbling angrily; and when I dried the wax down again it seems none of the solids had dropped to the bottom. So we've got a sickly looking lump of beige wax that may have to be retired!
Never mind, lesson learned!