I use black dop wax, like dis: https://kingsleynorth.com/black-facet-wa.html
I usually use an alcohol lamp (good because not only will it not superheat your wax to boiling or burning, but it also won’t superheat your stone). If I can heat the stone, I will. If not, I’ll coat it with shellac. What shellac, you say? The kind you get by dissolving your black wax in denatured alcohol, that’s what! I just keep an old pill bottle next to my faceting station (in my living room lol), and throw any odd bits of wax in there, like post-transfer wax that gets flicked off with your fingernail. I add enough alcohol to dissolve the shellac in the wax. You’ll also have solids at the bottom from any actual “wax” that doesn’t dissolve. If those solids bother you, feel free to filter or decant your shellac solution off the top.
Lately I’ve been playing with using a lapidary dop pot, especially for transfers (I use the hybrid wax + superglue method for transfers). I just stick the dop in the pot with the wax and get a blob on there when everything’s good and warm. Then I make an impression in the wax with the pavilion of the stone, add a drop or two of superglue, press the pavilion back in, and let it sit for a spell. Remember: if you can still smell the superglue, the solvents haven’t evaporated, thus your glue hasn’t cured yet.