Most of it should peel off easily. If you want to remove all of the residue, you'll probably need a petroleum based solvent (paint thinner, lighter fluid, etc).
I don't need to completely get rid of the residue, but it's not really peeling off easily. What have people done to get rid of it easily? Microwave? Boiling water bath?
I usually soak them in hot hot water with amonia. Depends on the wax you use I have found. Some candle wax comes off really easy compared to others. Alot of times if it just doesn't peel right now I use a paint scrapper with a metal edge.