The messiness can be managed, but it's still messy. Why bother? What benefit does jelly have over wax?
I appreciate your tip about wax. However, since you asked, Vaseline does have some advantages:
-It can be used for other things, for example, first aid, temporary relief of chap lips, etc.
-It can be applied to cotton balls without heating and while you're out there.
-It allows you to keep your cotton balls dry until you want to apply Vaseline. The cotton balls may then be used for other things, like first aid.
I personally am not irritated by the so-called messiness of Vaseline. If I have a little extra on my fingers, I rub the extra on dry patches of skin. It comes off well enough and soothes the dry skin. Also, I have yet to test the wax side-by-side Vaseline. If wax is a better fuel, then I will make it my primary.