I had braces for 2 years... They hurt at first, and everytime they make a change it hurts for a couple days. (making you wear rubberbands, changing the colors, tightening them, adding springs, etc...)
I only put wax in when I had a couple springs in the front and they would poke my lip. And when he would change the wire on the top or bottom to make it tighter. Sometimes he didn't cut it short enough and it would poke me and I'd put wax there until he would cut it.
Hope that helps.