Car wax is designed to be applied to a clean surface that is at the most warm to the touch. Once applied it should dry naturally, usually taking a few minutes; once dry the excess wax is removed with a polishing cloth to achieve the desired shine. Applying wax in the sun usually causes it to harden faster than it dries, thus making it difficult to remove.
TIP: Wax your car in the early morning or afternoon, in the shade.