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Get the wax out, no doubt about that. Wax, over time, degrades, and starts to rot. If you don't get it out, it will rot in your hair. Then you'll have mold, mildew and wax in your hair. That process is even more uncomfortable to get out. I get it that you paid for it and don't want to loose the money, but in reality, you already lost the money. Chalk it up to experience. I'd personally wash it all out, but if you want to try it, try the removal method. You might be lucky and not loose all of the TnR they did. There's a link at the top of the page that details how to do it.
2: Wash, wash, and more wash. 2-3 time a week till they start to mature in a few months. Then you can taper off. But never wash less than once a week. Mine are 5 years old, and I wash 1-2 times a week. Washing helps the process but creating knots and keeping your scalp clean. When you dry, try to air dry as much as possible. A blow dryer doesn't hurt, though. Don't rub your head with a towel, just squeeze the water out and pat it dry with the towel.
3: If you wan't to wear a hat, get a loose fitting one like a tam. You want to give your hair room to move around and rub against itself.
There's a post I made called "top secret" Search for it. It should pop up right away. It's full of info for new locks.
I understand that you fell discouraged. It sucks. But the wax, even if you don't add more, will create so many problems in the near future, that it's really not worth the chance