As I recall, you can iron sheets of wax paper together to make bigger pieces. Overlap an inch or two to do this, and make sure your iron isn't too hot. Just touch the tip or side of the iron along the seamline.
You can use a permanent Sharpie pen to trace on wax paper.
For quilting, freezer paper always seems to be preferable to wax paper. The only thing I can think of is that wax paper is easier to use for tracing, so you could possibly prefer to use it for tracing an applique pattern in its entirety (to be used later for correct placement, not for the individual applique pieces). However, you would then want to put a piece of white paper behind it so your lines show up when you use it for applique placement. I have no problem using freezer paper to trace patterns; although it is easier to trace on freezer paper with backlighting, I can do it without backlighting too.
You could probably use freezer paper in the same way as vellum can be used -- for tracings. For example, you can trace a quilting pattern onto wax paper or vellum (using a permanent Sharpie marker so you are sure nothing transfers to fabric) and then pin it over your top to see if you like the effect and that the pattern fits within your block.