WHOA! Where'd you find that? There was a topic about that here a while ago.. I'll eventually be back with al ink to show you that topic. They have a buutload of info on this... One advice i read though: No Firehack with this.... one guy said that metal would tend to heat up so it is relatively impossible to hold to start with... be careful man....
Metal doesn't hold a flame, unless you put something really sticky but extremely flammable in it.
Wax isn't flammable enough, so it wouldn't flame unless you stringed some cotton or hemp wicking through it...
It would heat up A LOT, so you wouldn't be able to play for very long, but it would probably work if you had the right wicking.
There's tons of info on MAKING chainmail online, it's really quite fun. All you need is a wire cutter (or better yet, a jeweler's saw), a couple pairs of toothless pliers, and a whole bunch of steel or copper wire. Copper bends more easily, but it turns sorta brown color, where steel is much harder to cut and bend, but turns rusty more easily. I made a copper chainmail gauntlet once, but it took nearly forever and turned my hand black. :P
I imagine that coating it in wax, and weaving string/wick in and out of a bit would work if you used a bit of napalm on the string, or mixed it with the wax. Yeah, mixing wax and napalm would work in a second.