Please don't use wax... your hair will never dread with wax in your hair and wax is too hard to wash out, especially with dreads.
You can easily comb them out in the first few days, because they won't be tight yet really. Conditioner helps too, like Alexis said.
just dont wash your hair for like a week or so. then just twist the hell out of your hair. thats how i did mine. turned out pretty good. just have to keep and eye on them for a few days, by twisting them if they get loose. anfter that, they should hold for a long time.