If there are long pieces of wax I enjoy peeling or having them peeled off. The process is fairly easy. It's also a nice sensation IMO.
For the smaller spots, I just expect them to come off in the shower or normal course of things. I don't worry about them too much. Now, these are no where they can be seen anyway and might make nice little reminders . . .
I do like to use an inexpensive sheet or table cloth just for wax scenes so that my good sheets or couch doesn't get waxed too.