Don't use wax, or any product really.
You will want to strip your hair, I generally use a mixture of water, sea salt, apple cider vinegar, and lemon juice. Maybe 1:10 on the vinegar to water ratio, and a little bit of salt and lemon.
soak your head in this, then wash your hair out with straight water (you might have to do this a few times).
When your done your hair will be dry and frizzy, kind of like you just bleached it (without any difference in color).
Separate it into the size dreads you want, they will be about half again as big around as just the hair that you separate, so keep that in mind.
Then, take the individual sections, twist them one way, pinch them at the tip, and slide your fingers back towards your head. over and over and over....
You can also use a dread comb (I usually just use cheapo flea combs from pet stores) to back comb them, start at about 1 inch from your head, so the base is really firm and tight.
After they are in, a really small crochet hook can be pushed in and out of them over and over to tighten them up, and draw in the lose hairs.
Don't use shampoo or soap in your hair for about 6 weeks after this, the oils will stick to your hair, making it harder for strands to stick together.
I have always done my own dreads this way, and have given them to a lot of people. I have tried a lot of different ways, and found that this is the most effective (maybe not the easiest) method.
or, if you want to be traditional about it, just don't do anything to your hair at all. Dreads came into play with people who believed that letting go of all material desires would bring enlightenment, this included hygiene.
good luck, remember, dreads are permanent, and if you ever want different hair your going to be bald first.