How is wax made, and where would it be made?

Wax(es) are usually the end product of petroleum refining. When crude oil is refined the low boiling materials come off first. Heavy oils and waxes are left (in a simplified discussion). Here is a site that give you more information. Read the entire article OR scroll down to "major products" for a quick overview.

http://en.wikipedia.org/wiki/Oil_refinery