Working with wax and oil clay can be tricky if you don't know the method. The key here is by controlling temperature as in keeping the clay or wax warm. This video from youtube user stopmotion magazine show how to make a simple (and cheap) hot box to warm your clay and waxes. Basically all you need is a box, aluminium foil, some adhesive and of course the heat source which in this case is a 60 watt incandescent bulb.
Checkafter the jump for another simple hot box build by Mr. David Lemon (clayguy1).