I havn't tried making a bike wax ever, but I do make "stuff" (soaps, candles, body care, etc) as well as work on bikes. My guess is that it would be much more expensive to try making something yourself. When you buy waxes in small quantaties like we'd be talking for bike lube, it winds up being expensive. You'd need some form of emulsifier as well, spray pumps (again really expensive if you're not buying 6 dozen at a time). You would probably want to buy many different types of waxes as well to find one you're happy with, which is likely to be a blend of different waxes (off the cuff I'd guess start with an %85 paraffin, add some bees at %2 at a time).
I'm all for it, if you don't care about the cost and time involved. More power to you, and please share with us your results.
I could totally be wrong, but if I were estimating doing this project myself, it would come with a BIG red light on cost/time value. (Which wouldn't necissarily stop me.)