I have used a tuna fish can on an old laboratory hotplate. The can is a little small, but you roll the chain up real small too, and once the wax is hot, the chain slips below the surface. Hot plate means no open flame - seems pretty safe as long as you watch it, plus you can do it outdoors if you are paranoid. Worked great, and you can ride the sandy Cape Cod backroads without picking any grit up on your drivetrain. But man, it doesn't last long! I am rewaxing every 300 miles or sometimes even less. Which means you could not use it for Paris Brest Paris!! Stop to wax your chain in the middle?!
Related, I recently let my chain waxing lapse, and rode it about 60 miles squeaking like I was getting chased by a pack of angry gerbils. Damn chain wore right out! In 60 miles! It went from near zero to the full scale on my chain checker. Is that normal? Luckily I caught it and changed the chain before I'd also worn out the cassette.
ehcoplex good to know about beeswax and the silca lube. I am often wanting more adhesion. What do you think about putting in some of that fluorcarbon/teflon ski wax? I'd been using candles. No chain wear detected until I let it run out of wax and rode it those 60 miles...