As chiefjason pointed out, wet-molding and dyeing strips the leather and hardens it significantly, which is why most give it a coat of neatsfoot oil first, to add a bit of oil back into it. There's nothing wrong with using straight beeswax other than it needs to be warmed up to make it workable, as you said. In my experiments with various wax mixes I came across one chap who said to mix pure gum turpentine (NOT the manufactured stuff!) in with the beeswax to make it softer. Yes, it worked, but over time the turpentine tended to evaporate out and leave a black gunk in the container. Not good. I've also seen mention of using Pine oil but have no idea how effective it would be.
When you've finished your project let us know how it went.