Wax paper has many virtues. Because paraffin is forced into the pores of tissue paper, it is waterproof. It can be used to prevent spatters in the microwave oven, line cake pans, protect counters and cake stands from messes, etc. And, indeed, the Reynolds Cut-Rite-brand Web site, says it will keep homemade candies from sticking. Obviously that was not the case for you, though, was it?
We often find – as you did – that heat makes wax paper stick to your food. You almost certainly would not have had the same problem with parchment paper, which is so much easier to find than it was even a few years ago. (We have found some variation in parchment paper lately though, so can't promise that bargain-basement parchment paper will be that much better than waxed paper, but it should be.) An even better solution would be Silpat, or one of the other brands of reusable silicon mats that can withstand high temperatures and don't stick to much of anything.
Turn any pan into a non-stick surface and save time cleaning up
Made of fiberglass mesh and the highest quality food grade silicone, which provides consistent heat distribution and promotes even ba...
To solve your problem, we would heat a cookie sheet in the oven set at 175°F (80°C), take it out, place your wax-paper-bound caramel on the sheet for about a minute, flip it over, and see if the paper can't be peeled off without much mess. Maybe it will need to sit on the hot cookie sheet for a little longer; maybe it will have to sit in the oven on the cookie sheet for a minute or two, but the heat applied directly to the wax paper and bottom of the caramel should enable you to separate the two without disaster.
You can also check our complete guide to find more tips about how you can better use baking papers (both, wax and parchment papers), when, and how to avoid food from sticking (that was basically the main reason why you are here reading this article 😉 )