You may want a liquid paraffin rather than a wax. Presumably a higher viscosity one will be better, idk, as long as it is heavier than your alcohol. Try some differing ones out and see how they impact on your product.
I am not sure about the candle wax. If you can get some chloroparaffin, of a medium molecular weight maybe, then that should do it. You shouldn't need too much in the mix. Too much and it will be too squishy.