wax paper is not used for applique---freezer paper is- they are 2 different products- freezer paper has a plastic coating that does not leave a residue on the fabric- wax paper is wax-melts- leaves wax on fabric.
i have added tatted butterflies to quilting projects- almost the same thing-except instead of yarn they were made with cotton thread.
i stitched down around the outside- & anywhere i was worried it would pull up with time-
freezer paper is generally used for templates to cut out appliques & to use to turn under edges-
a fusable web i think is maybe what you were thinking of-
it would be difficult to use for your crocheted items- the webbing would melt & (ooze) out in the gaps causing it to get on the top of the crocheted pieces too- you could use a fabric glue though which you would have control over where it goes if you want something besides pins to hold your butterflies in place for stitching-either choice will make hand stitching a challenge.