Considering the cost of small pistol primers today, I have been disinclined to experiment with this facet of shooting. Recently however I came across 16 rounds of Russian made 9 mm Luger ammo in the dud box at the range that I shoot at, which provided the basic material for this experiment.

Proof of Concept
Headstamped "Tulammo 9mm LUGER", I salvaged the bullets and poured out the powder. The cases were made of steel coated with a gray laquer. Berdan primed, the primers were deeply seated and only lightly dimpled by a firing pin. Examining the the interior of the case, I could see that the primers had not gone off, so I decided to try to use them for wax bullet loads.
- I melted a broken candle in a tin can set in a pot of boiling water.
- The melted wax was poured into an Altoid tin to a depth of about 3/8 inch.
- After about an hour the still soft wax had mostly solidified, so I pressed the mouth of each of the primed cases into the wax like a cookie cutter until it hit the bottom of the container and twisted the case to free it from the wax block.
Testing

The loaded rounds were loaded singly into a CZ52 with a 9mm barrel and fired at a distance of 15 feet into a steel pellet trap. Firing offhand they grouped within about 2 inches. The sound produced was about that of a cap pistol.
I chronographed 6 rounds which generated an average muzzle velocity of 538 feet per second with a standard deviation about 37 feet per second. The calculated muzzle energy of the 8 grain wax projectile was approximately 5 foot lbs
Information Resources
I found only a limited amount of material on this subject online.
One of the more useful articles about wax bullets that I have found is on the NRA's American Rifleman website. The Author, Jeff Hartman recommends enlarging the flash hole of small pistol primed brass to 3/32" and the flash hole of large pistol primed brass to 1/8" in order to prevent primer setback.
It should go without saying that such altered brass must never by used for standard loads with cast or jacketed bullets Depending on the cartridge case volume and the thickness of the wax plug you can expect a muzzle velocity from 350 to 550 feet per second with small pistol primers.
Another good article which can be found in the October 1965 issue of the Popular Mechanics, outlines a method to modify revolver cases to accept standard 209 shotgun primers which can generate muzzle velocities in excess of 800 feet per second.
A thing to keep in mind however is that your average candle wax may not track too well in the rifling of a gun barrel at these higher velocities
"Blast Away Indoors With Wax Bullets" Popular Mechanics Oct. 1965 p.132-134 books.google.com (accessed Dec. 2, 2011)
Hartman, Jeff "How to Make and Reload Wax Bullets" http://www.americanrifleman.org/ArticlePage.aspx?id=2294&cid=32 (accessed Dec. 2, 2011)
Kirkpatrick, Dick "Armchair Target Shooting" Popular Mechanics Nov. 1962 p. 143 books.google.com(accessed Dec. 2, 2011)