I know I have always had a problem with this, especially when hot wax gets onto your favorite tablecloth or wood surface. Here is a nice how to guide on how to remove wax from most surfaces. I wish I had known about this before I scrubbed the life out of my cute red tablecloth and made it worse.
What I find the most useful:
From Fabric: Take a 2 step approach. First, place the fabric in the freezer for 30 minutes. Remove the fabric and scrape off the cold wax. Next use a warm iron and paper bag to remove the wax stain (paper bag on the cloth and iron on the paper bag). Lastly, apply a little laundry detergent to the stain and wash.