Use wax from good quality candles, not cheap tea-lights.
Why?
What do you consider a
good quality candle?
I don't think it will make a difference.
Wax is less messy than jelly.

I'd say that wax is more solid than jelly, and jelly is more sticky than wax, but the messiness is entirely dependent upon storage/handling. If you keep the jelly/cotton balls contained (bag, vial), and you fish them out using your kindling (twig, paper), your hands will remain jelly free.