There are two possibilities as best I can ascertain. Burning and/or wax under the scales. Both these have the capacity to irritate or cause pain to the skin.
The possibility of burning is dependent on the temperature of the wax. I assume you know what temperature you heated it to. The snake’s preferred body temperature is 28 to 29[SUP]o[/SUP]C. It will cope with external temperatures up to 35[SUP]o[/SUP]C quite well. Anything above 40[SUP]o[/SUP]C is going to be uncomfortable and by the time you hit 60[SUP]o[/SUP]C even a brief exposure can cause burns. By the way, our body temperature is nearly 10 degrees higher at 37[SUP]o[/SUP]C, so what is warm for us is hot for a snake. A “warm bath” for a snake is absolutely no warmer than 30[SUP]o[/SUP]C.
It helps to be aware of snakes’ receptiveness to heat through their bellies. They can crawl over rough wood and bark, sharp-edged rocks and gravel, sun-baked soils or sand, through *****ly vegetation and the like. Having a belly that was sensitive to pain and heat would make their movement from one place to another extremely uncomfortable to outright painful. The scales provide a good deal of physical protection but the heat sensors are located closer to core of the body. So anything that gets under the scales can cause irritation and snakes can remain in contact with an particularly hot object and get burned before it registers for them.
Unless home-made, the hair wax will have a solvent that goes with it. It will be designed not to irritate sensitive human skin. That is what you should be using to remove and external wax and any wax lodged under the scales. A cm in a long, narrow container and a bit of swilling back and forth of the snake is all that should be necessary, if required. If the skin or scales are discoloured in the region of its immersion in the wax, then a five to ten minute soak in a dilution of 20:1 water to Betadine lotion will assist to disinfect the area until you can hold of a reptile vet. And keep it on paper instead what its normal substrate, to help keep it as germ free as possible.
To remove it, place pillowslips over your hand and a tea-towel over its head before attempting to remove it. Keep the pillow slips on as “gloves”. This should allow you to take it out and work with it. Get someone to assist you and have them wear pillow slips as well.
Good luck,
Blue