I usually use it as a kind of stress ball, squeezing it and shaping it into whatever suits my mood at the time. After a while of handling it, it becomes very soft and pliable. It's pretty soft to begin with, being cheese wax and all, but when it's warm it's fun to stretch and pull apart and form into bizarre little shapes.
Today I made a little cheese wax dude.
Then I crushed him into a little ball all over again.
Feel my power over you little cheese wax dude.