Strangely enough, I tried doing this just yesterday. I normally use just PJ cotton balls, but I decided to try giving them a wax coating to help make them less messy. Unfortunately, I think I used a bit too much wax. I melted down a candle on my stove, and held the cotton balls with pliers, and dipped the entire thing down into the liquid wax. I then took them out to dry. However, now that they are dry, they are SOLID. I can't break into them with just my fingers, I literally need to hit them with a hammer or the back of a heavy knife to get inside. I definitely think I used way too much wav, but if you can control it so that there is only a small layer of wax on the outside, I think it would work very well.