You don't need wax with loops. There are instructions with the loops when you buy it as a start but Ellusionist sells The Guerrilla Guide to Using Loops, has all the info you need about them really.
I recommend picking up a pack of pre-tied loops first so you can see what they're supposed to look like, what size they should be, etc., then getting a spool of Mesika's IET Elastics and tying your own. I made a video on how to tie and store your loops that you can watch here. Any wax will work for tying loops.
As far as learning to use loops, the best sources are Mesika's book, Animated Miracles, and the 2 disc DVD set he did with Finn Jon.
I love loops! I'm glad you posted that video Matt - otherwise, because of cost, I wouldn't continue to use them. I bought me 2 spools of Mesika's IET, and 2 things of Michael Ammar wax so I can tie my own and use these more often!