Stain removal is all about speed and technique. Here's the proven method for tackling candle wax effectively.
Place ice cubes on the wax (in a plastic bag if needed). Cold makes the wax brittle.
Once hardened, scrape the wax off with a plastic scraper. Most should come off.
Cover the remaining wax with a brown paper bag or paper towels. Iron over the top on low heat -- the wax melts into the paper.
If the wax was colored and left a stain, dab with rubbing alcohol on a cotton ball.
Wash the fabric normally with dish soap pre-treatment if needed. Repeat if any color remains.