Becci, I'm not sure I understand your question so I'll give you a couple answers that might help.
If you are talking about shellac burn-in sticks, the best way is with an electric burn-in knife such as the one Woodcraft sells as item 03F31. You can go to www.woodcraft.com and find these to see if this is what you mean.
If you are talking about the wax Touch-up Sticks, like the ones in the set sold as Woodcraft item 04T21, or the comparable ones from Minwax, yopu don't melt these. They are made soft enough to fill scratches and the like by just rubbing them on. If the crayon-like stick you have is very hard, you can peel the wrapping around the stick back and break off the part that has been hardening in the air. Then you can work with softer material that has been protected by the wrapping. "Draw" like with any crayon over the scratch and level the wax out with a white, dustfree cloth.
I think that it is easier to use the colored wax from Minwax that comes in the jars that are about as big around as a silver dollar. After you have used these once, and even though you had the cap on, the top or outer layer of this will also harden over time. I usually get a bit out with a pen knife and soften this a bit in my fingers, then use just the very tip of a putty knife to force it into the scratch. Finish by wiping with a white dustfree cloth to level. Actually, I was filling some nail head holes with this today and wiped them off with the blue industrial strength paper towels. This worked very well but I would not have tried it with ordinary paper towels. The "rags in a box" or "rags on a roll" towels worked as well as the rags that I usually use.
If none of these sound right to you, let me know a little more about what you are working with.