It also greatly depends on what type of wax you use. Store bought candles are cocktails of different waxes (mostly paraffin and/or beeswax, but with lots of little additives that change the properties), and can be pretty soft, relatively speaking (beeswax ones especially).
You can get pure paraffin wax at the grocery store in the baking/cooking isle (it's used for making DIY preserves). Straight paraffin's pretty hard: it won't get marked up just from your figure bases. Wax takes oil/enamel based paints very well, so a good hard clear coat to further toughen the surface should in theory be a simple thing (I've yet to try it myself). Paraffin's pretty cheap too, and looks a lot like scale pack ice right out of the box.
IIRC there's also additives you can get for candle and soap making crafts that will strengthen wax (the local craft store chain here has a whole isle dedicated to that stuff), but I don't know much about that yet myself. Google will probably tell.
A glacier or a pack ice board with wax has been on my "experiments to try" list for a while, but I've yet to get around to it.