Wax stays put very well on a bracket because it moulds to its shape, but the archwire is flexible, so if you put wax on it, it will often fall off. If a sore in your mouth is caused by the end of the archwire behind the last bracket, wax is a temporary solution until you can find time to see your orthodontist, who can trim the wire or cover its end with a material that stops it poking.
This answer is for general information. Your own case needs an examination by an orthodontist.