Good thread! I've also used cotton string and newspaper in the wax. I'm making some tonight, I usually get a coffee can, dump the wax into it, and heat it up on my outdoor propane grill. If it flares (it never has yet), I turn off the propane and keep the lid shut. The coffee can is a nice container to hold the extra wax for the next run.

Always helps to have a fire extinguisher close by, though.