The pro shop recommened using a piece of leather and even gave me a small piece. The guy told me he rubs in the wax with the leather to heat the wax up. He also said to do the long areas first so the leather gets warmed up a bit so it makes it easier to wax the short areas. Been doing it ever since and seems to be working great.

I have also heard of the leather thing, but I still just use my fingers. Before the season, I'll also ussually take the string off and wax everything real well. I have also heard of giving the string a bath to remove any debris.

I've always used my fingers, but I might try the leather trick.

I keep trying to use a bag, but she says she ain't touching the thing: that it's my bow and I have to do my own work.

Seriously, I can't remember where I read it but did read that using leather or any other thing that creates heat is not the best method for these new string materials. I don't know. Maybe on Brownell or BCY site. Or could have been Spott-Hogg, letters. I do know that synthetis strings stretch and shrink just due to heat from the sun or other wide temperature swings.
Anyway, I rub it on and then use my fingers. My fingers have touched worse.