Using wax paper instead of parchment paper is not a very good idea when baking. Wax paper starts smoking and creates a disgusting smell in the oven. Wax paper and parchment paper are very different papers and meant for very different things in the kitchen.
Wax paper is coated with a wax so that it is non-stick, which is perfect for no-bake cookies or popcorn balls. However, wax paper is not meant to be heated and is not heat-resistant. Parchment paper is heat-safe and also has a non-stick surface because it is coated with a silicone-like substance. When baking in the oven, always use parchment paper.