I heard this one last week and it really works.
Take the wax and rub it up and down the string. Then using a piece of leather, old finger tab works well, vigioursly rub the string up and down melting the wax deeply into the string. Then take a piece of dental floss and wrap it around the string. Draw it fairly tight and pull it along the string.
You won't believe the extra wax that till come off. Makes a nice clean even wax job.