I wonder how long do you keep the chain in the wax bath? Sounds like you pull the chain from the wax when it's still hot. Wouldn't the wax drips off the rollers?
I usually leave the chain in the melted wax for a few hours and occasionally stir it around inside the pot to try to get wax into the crevices and bearing surfaces.
I fish it out with a hooked tool and hang it to drip excess wax back into the crock pot. Unless I lose track of it for an hour or longer, it'll still be warm and flexible when I'm ready to put it back on the bike.
And I'll usually wipe off the excess wax using a dry paper towel.