I just ran a little "proof of concept" experiment in the kitchen.
I melted four of those cheap tea-light candles in a double boiler. I added 1/4 oz of petroleum jelly (about 18% of the total weight) to the mix, then dipped a few bottles. The color is less than impressive (translucent white), but it seems to work well.
In the future, I think adding about 30% petroleum jelly by weight would make candle wax just a little more flexible. So, here's my idea - rather than buying bottle wax, I'll just buy a cheap unscented candle in a color I like, melt it, add some petroleum jelly, and seal away. I hear crayons can be pretty effective as wax dye, so I may try that in case the candle color isn't brilliant enough.
A couple more tips:
You can make a sort of "crucible" by forming a double layer of aluminum foil inside a drinking glass. Then use your makeshift crucible as the inner portion of the double boiler - no ruined pots/pans that way.
Cover the countertop/workspace with waxed paper to avoid a waxy mess all over the place.
Use room temperature bottles. The ones I pulled out of the fridge didn't look nearly as nice as the ones I had at room temp.