On some cardboard.. Get a shoe box and decorate it. Melt with hair dryer. If you want the crayons to stay in place hot glue them to the board. Or even use a glass bowl or plate and you can just throw away.
I saw something in a craft magazine where they used a hair dryer to melt crayons. I am not sure how well that will work. I think they sell heating guns/embossing guns on amazon or any craft store. That might work better. You can melt them on wax paper or construction paper.
Crayola used to make a clown recycler. You can do it in a non-stick pot/pan. From experience, bad experience, Do NOT try to rinse residue out in your sink or you be calling Roto Rooter! It was the only part that didn't go as planned. The pan was good as new. The drain cost about 100 dollars.
As gatorblu said, an old pot is great. Use one you don't care about (you may not be able to use it again), or buy a cheap one at the dollar store (NOT a no-stick pan). -- also, a tip: keep ice really handy, in case anybody gets hot wax dripped on them. Just slap the ice on the wax drop, it will cool and pops right off, then keep the ice on the skin for a few minutes more. You rarely get any lasting redness-burn that way. -- You can also use either oven or microwave, although I can't remember temperatures needed. However, this link might help with that part. It also has quite a few melted-crayon projects ideas, plus instructions, and sometimes videos. http://crafting.squidoo.com/melted-crayon-craft-projects Plus, the Crayola crayons people have some great tips/ideas, too: http://www.crayola.com/crafts/ Have fun!