Other mistake: Covering the victims' bodies with layers of wax would make the figures look unnatural large. And the machine that secured the victims in seated position as it sprays then with layers of hot wax would mean the figures would have to stay in seated positions when completed.
Factual error: Wax doesn't burn, even when exposed to flame. Wax also will not conduct heat. The ending shows the House of Wax melting and burning to the ground, as if the heat is spread throughout the house. In actuality, only the small hole near the fire will melt; the rest of the house would be unharmed.
Answer: It is simply a contraption to keep Wade in place so he doesn't move and the wax can be applied. It's also used to keep the wax out of his eyes, ears, nose and mouth.