First of all, did you get them done at a salon or did you do them yourself according to the instructions on the website? Cuz the techniques can vary - some salons do dreads by twisting (not dreads at all, they rarely lock that way for anyone with hair types other than Afro-American), and some do the backcombing method. If all they are twists, you may need to do them over again properly with a friend, because they will not dread for a very long time in twists.
You will be able to feel the wax in new locks for the first few days, and you won't need to rewax them unless you want to. Give them a few days to dry out a bit, keep them back from your face, etc., and then rewax. Just use your good judgment, if you need to get some loose pieces in, use the wax. If not, then don't. And when you rewax, it helps to use a comb to knot them up again, because it's by knotting them up that they become locks, right? If you find that the twists are just coming undone, get a friend and start from the beginning of the instruction page of the website - unfortunately you may need to do the whole process again, just to try and nap your hair up a bit so it starts dreading. Again, it does take much patience and time and weeks of rough-looking hair until it starts to lock, so if you want to leave it and just see what happens, you can do that too.
But seriously, don't give up because they WILL happen, promise. We know it's frustrating; on the really bad days just wear a hat or pull them back and don't worry about it. Love them for what they are and they'll be fine. And see if there's anything else you could be doing from the tips here on the website, etc. Good luck, and don't give up!