William,
The answer to your question is to use acetone to remove the wax. I suspect most similar chemicals will work also. Just a little on a rag, rub the area, repeat until the wax is gone.
But I suspect the wax has nothing to do with the blanks cracking. It's more likely that the blanks aren't dry yet. Even if you're successful in drilling them without problems they'll probably crack after they're turned to size and finished.
Lots of ways to dry blanks are covered elsewhere on this site. My personal choice is to scrape the wax off the sides but leave the ends coated with wax, write the date on the side of the blank with a Sharpie, put it in a brown paper bag and forget it until next year. By the time I work through all the junk on my workbench and find that sack again, the wood is dry. [
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txbob