I always wax at room temperature. If the cheese is cold the wax doesn't stick enough and slides as you make the second dip, forming a long rip/crack that is very hard to mend by re-dipping. I keep the wax at a temperature that is just barely enough to keep the wax melted. If the wax is too hot it can melt the cheese and cause problems peeling it off later, and it takes longer to set as well.
Also, I always heat the wax in a disposable pie tin over a pot of water, not an actual double boiler. The tins can be stored in a gallon-size ziploc bag after cooling and drying off the bottom.