Well, with the theory that you freeze a candlestick in order to remove the wax, perhaps putting a block of ice on the wax and then trying to scrape it off would work. Heating the wax would tend to make the problem worse.
Depends on what it's on. If it's on carpet or fabric- let it cool completely before trying to get it off, then take a warm iron and place it over the spot (with a rag in between) and warm the area...