Put a piece of chees cloth in first. When the wax is melted pick up the cheese cloth a wring the wax out of it. It'll collect all the unwanted material out of the melted wax.
That's a good idea, barhopper. But how do you ring out the wax without burning your hands? Do you use gloves?
I've been melting mine like I saw Don the fat beeman do. Take a big old pot, fill half way with water and melt all your wax into it. Once melted, you pour that whole goo through a fine strainer into a big plastic bucket. Spray the bucket with a little vegetable oil first. The wax hardens into a cake on the top and all the other water settles to the bottom. Once dry, you just remove the cake, let dry some more and then you just scrape that other stuff off the bottom. I think that's pollen, but I'm not sure yet. Haven't tried to feed it to them yet. It's generally still a little dirty so I remelt the cake in a crock pot and then strain it through some panty hose into my beeswax tea kettle. I pour that into a silicon mold I bought and make cute little blocks of wax. I bought one of those honey cake molds off ebay for $11 and it makes perfect little 1oz hexagons of wax.