I have a small round airtight tub, I put wax remover in there and put the heads in it to melt the wax off, I say round because I can pick it up to swish it around. I'll then remove them from that tub and rinse with boiling water, then wash with hot soapy water, then rinse with cold water. Then leave them in some Barbicide to sanitise them. Then rinse again and then leave to dry.
Sounds a right faff, but when I was using roller heads regularly I would have five or six at a time to clean and this isn't that labour intensive but is really thorough at getting them clean and wax free.
Mat