I doubt it really affects performance much. Tape and if you use wood blades, they will last much longer with wax. I too use a candle and rub it onto the lower part of my blade. Then I heat it up a little to melt it...but not too much or the tape soaks it up.
I used to play with a guy in high school that would rub candle wax in and then use a heat gun to melt it into the tape. He probably could've used one tape-job for the life of the blade but would go through the ritual before every game, or if he was bored while the ice was being resurfaced between periods and the coaches weren't demanding our attention. Certainly didn't affect his slap shot any.