I have a deluxe manicure and pedicure on my service menu which include the paraffin wax therapy. I apply the wax after the nails have been prepared, smoother the area to be treated with a rich moisturising cream and apply the wax, wrap area in a plastic bag and cover with a towel to keep in the heat (heated booties work well also.) Afterwards I carry out the massage using the warm cream that is still on the skin. It's a lovely treatment.
As joeyx said the typical paraffin wax heaters can be a pain to melt as they take FOREVER to melt the wax because of the low temperatures setting they have in order to prevent over heating (paraffin has a low melt point). I however now melt my wax in a spare wax container in a standard wax heater at it's lowest setting. It melts quickly and doesn't overheat although I'm still mindful to check the temperature on myself and the client before slapping it on.