The blue wire wax is crazy soft. I now buy blue wire wax in spools for that reason. I too, use a heat pen to attach waxes of differing types. If something is very soft, I sometimes cool it inthe freezer or fridge to give it a little strength for handling. It takes some experimenting to get your own feel for what your individual hand requires.
I've also cut waxes for bezels from very thin green sheet. That has worked well. It allows for alot of flexibility for non standard heights / widths of unique precious materials. I've also cast unique bezels strips to fabricate with and to make infinity bales / bezel settings. If the wax is too flimsy, you might leave a little of the backing wax beyond the bezel wire and trim / file it after casting. If there isn't a totally clean edge seam between waxes on the outside, you could run a solder seam and then trim in a worst case scenario.
I also use (gross i know ;-( ) saliva as a soft wax polish on a artists oil painting bristle brush along with a blast of water to free up any wax bunnies that might be lurking. It buffs the non shiney wax up nicely. I can't remember how I figured that one out. Caveat, if you push too hard or its room temperature , it deforms.