It works, but if you continue to twist it will cause baldness. You should never ever see scalp. The best method will always be natural, but if you must twist, do it once and leave it be. And never use wax.
You can wash your hair with normal dish soap to get out the wax. Wax is a hydrocarbon and needs detergent to get it out properly. There is no need to get wax-b-gone or anything like that. Just wash your head with the detergent, while in the shower, over a week to be 100% sure it's out.
From there your best bet is to go natural. The dreads you show in the picture there are all "made" locks. It is not a healthy way to dread. With the natural method you get both thick and thin locks, and you decide on how big or small you want them by separating the sections, or letting them grow together.
You want both big and small sections, because big sections give volume to the hair, while thinner ones fill in the gaps.
Your other option is to use the TnR method. You will have to wait for a few months before your hair is long enough to start. However, you can neglect (go natural) at any stage.
Good luck on your journey, whatever method you choose.
Palm rolling is bad for the hair, it does little breaks to the strands and eventually your formed dread may break off. With patience, the dread will form naturally, just give it time, no rolling needed. Wool hats should not be tight, as your hair needs room to move in order to dread.
here is link for Wax Be Gone I believe this is the most highly recomended product here:
Im not sure but I think you need to have at least a couple of washes with wax remover. There is plenty of dissucssions on wax removal. Its notoriously pretty tough to get out. But people here will give you lots of help. might be best to not rush getting new dreads just to make sure you have got all the wax out for good. So then they will be the happiest coolest dreads. Like the Barrellady said there is alot of info in dreadeucation about a starter method if you want one, but natural seems the way to go if you the patience. I wish i did, i started with back combe. best of luck starting your journey