Wax doesn't spontaneously combust.
Most oils oxidise as they cure (danish oil, linseed oil, tung oil and mixtures of such) , and if the oily rags aren't opened out and exposed to the air, the heat produced by the oxidation reaction increases inside the rag sometimes leading to spontaneous combustion. If the rag is opened out, the oil is cooled during the reaction.
Waxes don't oxidise so there isn't a problem with them even though they may have a low flash point, that is just the solvent for the wax to make it into a paste, it evaporates if left exposed. (Which is why you should leave wax for a few minutes after application before buffing)
Mineral oil is an exception to this rule as it doesn't dry by oxidation. This is why you can use mineral oils on oilstones and not the other types ( which I'd call organic oils but I'm not sure about the technical name for them)