Scott,
If the "cap" in question is a BURL cap, mount your piece on a face plate with a few small screws into the cut face, thread on your spindle, take a blow drier or heat gun and simply melt the wax off into a drip pan or bowl. [DO NOT use power to rotate the lathe - the piece will fly 😱]You can trun the piece to get 95% of the wax melted off. Then rinse the piece with mineral spirits or (better) naptha and a bristle paint brush to remove the rest of the residue.
If, on the other hand, someone waxed your hat, never mind . . . 🙄