Because you're literally playing with fire, you have to be very careful when you indulge in wax play. First, and most obviously--the flame itself. In order to not burn your house down, anyone indulging in this kind of BDSM play has to plan for fire control - not just orgasm control. Have a fire extinguisher handy. Second, wax is hot stuff - some waxes are hotter than others. Make sure you have ice and burn ointment handy. Remember, safety is a good thing. After you've handled the basics you can move on to setting the scene.
Wax sticks to everything. And it doesn't come out of fabric or hair very well. To protect fabric get a vinyl shower curtain from a local discount store and spread it over your play area. The sub's hair should get pulled back and tucked away.