Candle wax and cheese wax are quite different.
Candle wax is very stiff. If it were flexible, you'd get bendy candles.
Cheese wax has additional ingredients to keep it pliable and prevent it from becoming brittle:
This wax is pliable and will not become brittle as will pure paraffin wax.
It also has food-grade dyes. Remember that candle wax is generally not designed to touch food.
As to brining.
The instructions on the About Waxing tab mentions that it's important to clean cheese before waxing to prevent mold growth:
Before the cheese can be waxed, the mold needs to be removed. This can be done with a brine wash or vinegar wash. Both high acid and high salt will discourage mold from growing. I prefer the brine wash with ~ 1 tsp salt to a cup of cool water. As you can see in the photos, the mold wipes away easily. Photo at left shows the clean cheese ready for waxing.
The cheese will dry and be ready for waxing in an hour or two.