Do NOT use candle wax (unless it is a raw beeswax candle)!! Get Bees wax. You can often find it at JoAnn's or you can contact a local bee keeper. It is sold in a little disc and you run your thread through it.
W&N batting is about as far from authentic as you can get. It is needle punched cotton with a polyester scrim. It is nothing at all like the batting of the 19th century. Unless you buy bale cotton or carded wool and spread it yourself you will have to work with modern products. If you are truly trying to be close to period, use mountain mist blue ribbon cotton or wool batting. I think you will find it much easier to needle and it probably won't dull your needles as quickly.