Ice cube . Place ice cube on wax to make it harden BEFORE you try to remove wax from fibers. And before you use an iron--what fabric is it. You do not want to iron a down coat!!! Chill the wax try not to get water from cube on the coat, papertowels work fine. Then use a thin knife, kinda "stab" the wax, wiggle it just a bit while pulling slowly. The majority of the wax should pull right out. Good Luck
One way to see if you can get wax out of a coat that has hardened on would be to get a brown bag and iron. Put the brown bag over the spot and then iron over the area with your iron on medium high. Lift bag and use a clean section of the bag and repeat until it has lifted out. You might also want to try taking it to the cleaners to see what they can do help clean it off.