When you're waxing your legs, start with the ankle. If you're doing your arm, start with an area the size of a large watch. It's not easy, especially your first time, and putting wax on your entire leg area at once before removing the wax will make it dry and hard, plus it won't remove hair from the root.
When you're talking pubic areas, a little cooler is always better. What's warm on your hand is hot down there. People apply it way too hot and that can actually take some skin off
Exfoliating first will get rid of the layer of dead skin that's likely trapping hairs. You'll allow the hair to come to the surface, so the hair can be properly pulled from the root on the first try.
Shaving hair makes it grow in more dense, and the first time won't be perfect. "Once you wax, you have to commit to waxing. When your hair starts growing back, it won't grow back as dense, which means waxing will be much less painful.
Body lotion that contains alpha hydroxy acid can tingle and burn, and a tanning bed or direct sun exposure will be nothing but irritation. Freshly waxed skin is more likely to burn, so be extra careful for about 24 hours after waxing.