See? Just that whole "breaking the skin" comment makes me shiver...and not with wanting either. I would refer items used on me that are a little less...well dangerous. Call me crazy, but I have enough battle scars on me without having them come from S & M activities. (I'm a klutz you see)
As for candle wax then ice. I can't say that I have ever had that done. Granted, the last time I had candle wax on me, there was so much of it and it was so thick that I doubt that I would have felt it.
However, I have had ice inserted into me and then had sex that way. It was...interesting to say the least. Very cold at first *lol* (like that isn't a "No Duh" statement) But then I kinda went numb but I could still feel everything. It was really quite different.