Re: GLUEING WAX
Wax isn't generally glued, it's welded. If you're trying to attach wax parts to a substrate, flow a little hot wax onto the wood where you want the parts to be and make sure it's stuck on well. Then position the wax parts where you want them, and using a hot tool, flow some molten wax in between the wax parts and the patch of wax that's adhered to the wood.
Of course, this still wouldn't be considered a permanent piece of art (although I suppose anything goes these days). If you want to make something that will last better, make molds of the wax parts and cast them in some other material that will last better, such as urethane plastic, which will glue easily with urethane-based glues (like "Gorilla" glue).
Most wax dissolves in mineral spirits (paint thinner).