If the wax is on a pillow or removable fabric, consider putting the fabric in the freezer for better results.
A clean rag can be used in place of a paper bag; however, the wax is likely to remain on the cloth after washing. Be careful to use a paper bag without any writing. The ink from the print will transfer and stain the upholstery. If you use a paper bag from a store with a label, cut the label off of the bag before use.
Use a blank paper bag or clean rag for this method as well.
Test the WD-40 on an inconspicuous portion of the fabric before using it on a more noticeable section.