The only reason for the wax is that some people find its more comfortable to use. I have wide gaps and use teepee brushes which are dearer but will help me to keep my teeth.
It makes no difference at all, it's just down to personal preference -whichever you find easiest. As mentioned in an earlier reply, interproximal brushes are more effective than floss for wider gaps between teeth, especially back teeth where flossing is technically more challenging. Cleaning between teeth is the most effective way of preventing chronic periodontal (gum) disease.
I use Oral B dental tape, not floss. It is a little thicker and the floss an doesn't cut the gum. But dentist told me not to floss too close to gum as it will bleed. Floss does seem to help with my teeth, they are not as yukky as they used to be and dentist is pleased! I floss every two days, at night before bed.
There is a fantastic new product called the Sonicare Airfloss, which you can use instead of Floss or interdental brushes. I bought one and I can clean between my teeth in less than a minute!!