I've had this problem for years until I recently found out about Mossimo hair wax and Mossimo hair paste, they both work exactly like all other hair wax products, except that they wash out with water. It says on them as well that there water soluble, the paste is a bit stronger then there wax and that's what I use now but trust me there is nothing that can wash out most types of hair wax so making the switch to Mossimo is the best thing you can do.
Dax wax is extrememly hard to get out of hair. I find that if you just put the shampoo onto dry hair and massage it in for about five minutes, rinse and massage shampoo into your wet hair for another five minutes (a really firm massage) that it comes out great.
Dax Shampoo usually does the trick. Or vegetable oil mixed with shampoo.