You can even use wax on other things as it will adhere to most surfaces. Like on top of polymer clay or on a small dish that you want to create a relief sculpture on. Use the pen to add drips of molten wax until you get the basic shape and then go in and carve out the finished details. Once you're done you can use warm water and a soft (preferably used, for more softness) toothbrush and brush down any roughness. After that some cool water and a burnishing with a paper towel and it will shine like smooth glass. When you see a toy so perfect and smooth with all its clean edges, most of the time that was done by hand, not machine, that is how finished the wax looks.
Wax pens come in a variety of brands and by doing a simple search on google you can find most of them. My favorites are: Giles©, Foredoom© and the Kerr© ultra waxer, my main pen of choice. Like the wood burning pens they, too, have a number of different tips available optionally.
The wax itself can be purchased in premade blocks should you want to try it. The Compleat sculptor in NY carries Azbro© wax (yeah, it's meant to sound like the company that formulated it) and Gary Overman has a variety of waxes that he produces all with complete descriptions of qualities and uses at willowproducts.com called studio waxes, just to name a couple.
For more tools and devices used in wax work look them up in most jewelry supply stores online where you will see large selections of melting pots, sculpting tools, jewelers waxes, wax pens and more.
Well the subject of wax is huge and a book could be made on it, but here I have tried to give you a glimpse of its possibilities and the tools to work it. For more information look up "using wax pens" on You Tube where there are some great tutorials.
Happy holidays from the Tool Corner!