Question

How is wax made, and where would it be made?

Answer 1

Wax(es) are usually the end product of petroleum refining. When crude oil is refined the low boiling materials come off first. Heavy oils and waxes are left (in a simplified discussion). Here is a site that give you more information. Read the entire article OR scroll down to "major products" for a quick overview.
http://en.wikipedia.org/wiki/Oil_refinery