It's a simple enough procedure but don't use anything that has another purpose because you will never remove the wax.
Clean the cappings thoroughly, I hang mine outside in a net bag and allow the rain to do the job. I then allow them to drip dry under cover. Long winded process but I'm in no rush and the cappings are like sawdust at the end, rain water is by far the best.
Heat some water in a pan, don't have it boiling a gentle roll is enough, add the wax. When it's melted down, pour it all through coarse material filter if there is a fair bit of gunk or a finer filter if the wax was clean looking (piece of hessian or pair of tights) into a container and leave it to cool. You should be left with a nice block of wax and can remove it fairly easy from the container due to the water underneath. How dirty the bottom of that block is determines how many times you melt it down in a bain marie and pass it through very fine filter like J cloth or lint.