I know this is an old thread but I wanted to throw in my $.02. Ive made thousands of wax/birdshot "slugs". I wouldnt quite call them slugs but more like frangible ammo if that makes sense.
Firstly, I load them to upscale cheap low brass birdshot. They are a ton of fun and very effective for their purpose. I have shot a lot of stuff with these wax/birdshot slugs and if made correctly will bore a clean hole straight through a 4x4 and then scatter upon exiting. They generally act like a slug though something solid, but as soon as they make contact with something not completly solid (ie drywall, 2x4,plywood) they will turn back into birdshot.
Like I said if you shoot a 4x4 (solid) it will bore a clean hold straight through because the load cant necessarily scatter inside of a solid object, but as soon as the slug goes through 1 layer of plywood into sheetrock thats, lets say 3 feet behind it, it would have scattered about a foot or so, just like if you had shot birdshot from the 3 feet distance instead of the 25 yards that you shot before it hit the plywood.
Secondly, there is defiantly a technique to making them! You can't just cut the top off and try to pour hot wax on the cold shot....it will never stick together! the type of wax matters as well, especially in very cold/very hot climates...more on this later..
The way I usually do it is to put the shells into my jig ( which looks like this :http://www.youtube.com/watch?v=S-5xbeQRZtU
) pour the shot out into hot wax and then top the shell back off with the wax soaked shot and a topping of wax to keep the top nice and smooth.
BUT.... this method has its downfalls.....firstly yes, its easy, but you might have issues with the wadding and slug falling out as there is not anything but the little bit of wax seepage holding it in place. THIS CAN BE DISASTROUS if you are depending on this ammo for SD. Usually when done this way I will have maybe 5 out of 100 rounds that fail to make enough pressure to allow the powder to completely detonate. It could easily turn into a squib/bulged barrel situation if you are not careful.
The other issue is the wax type. A monocrystaline wax is best suited for making good dependable slugs(there is a guy that sells it on ebay and its a fantastic "zombie" round hehe). I generally use a colored candle wax that comes in a granual from a local crafts store ,but have used paraffin, and my favorite commercially available wax is beeswax. Beeswax is expensive and has a low melting point but I like it because its hard. You can pretty much decide what you like from trial and error based on you likes and climate.
If you want to make a better wax slug my suggestion is to get yourself a 5/8" fine tooth holesaw and a drill press. This method leaves a crimp for the wax to adhere to, makes a good looking slug, allows you to stuff a little more shot in before you cap it off, cycles in semiautos, and it solves the no pressure/squib issue of the cutting method. I have not had a single issue with feeding or squibs using this method.Here is what I do now and it works fantastic:
BUT here is what can happen if you are not careful with the first method!