Many moons ago I shot paraffin bullets in my .357 Blackhawk. As others have said, a primer and NO powder. I don't remember whether I used standard or magnum primers. You can either push the cases through a bar of paraffin, or melt the paraffin, pour it into a flat pan to the required depth and then insert the unprimed cases. Both techniques are a bit messy, but nothing really bad. Wax bullets will damage drywall ...
Ask me how I know.