I've vac sealed mine for a while now, but in Feb this year I tried waxing. Did a lot of research before hand.
Personally, I put the cheese on the smoker right from the fridge. Never had issues.
I let the cheese mellow in the fridge (vac sealed) for about a month after smoking before I waxed. I don't think you have to do this. I believe it will mellow just fine in the wax. Probably better.
Waxed cheese (hard cheese only... no mozzarella, etc...) does not need to be refrigerated. Cheese waxing was invented to preserve cheese prior to the invention of refrigeration. That said, I still keep it in the fridge. :)
Beware though, you have to get a thick enough wax coating that it will prevent ANY air to reach the cheese. Be careful of sharp edges too. You don't want something to poke a hole in the wax while it's no being kept cool either. And they both melt, so no storing above the stove, on top of the refrigerator, in the garage in summertime. You get my meaning.
I guess I should also tell you to research research research... You need to kill the bacteria on the outside of the cheese, you have to use cheese wax, not parafin. Parafin won't allow you to get it hot enough to kill the bacteria (I went to 200dF) and the cheese wax will.
Make sure the cheese is dry.
Lots of thinner coats is better than one thick coat.
I think that's it. But do your research... Can't stress that enough.