I use 0.8mm nozzle in my setup / fog less/ and it will blow and clean chips from slotting with 20 mm cutter on the mill without any problem, so i assume 1 needle 0.5-0.8mm will be alright. Have not machined wax, but on any plastic its beneficial. I dont see any other reason for that marks, except some vibration on Z. If its clean around , when you finish the job you could vacuum the wax / i do that when machining brass. Air cools the tool quite a lot, much more than vacuum can do.