It's important to remember that when waxing we are working with chemicals, and with any chemical, it's good to know what you're dealing with and what safety precautions might be recommended.
The type of chemicals in use and the amount of exposure to those chemicals are two factors that can help determine the appropriate safety precautions to take.
If you're an infrequent hot waxer who uses hydrocarbon (non-fluorinated) waxes you will likely require less stringent safety precautions than a person waxing frequently and/or using fluorocarbon waxes.
At minimum, always wax in a well-ventilated area, if you're waxing in a garage open the door and get some air flow. If you wax a bunch or tend to use fluorocarbon waxes, and/or rotocork invest in a respirator. If you find yourself in a crowded wax room pre-race, don't be shy...wear a respirator!
Here are links to more waxing safety information by two prominent wax companies, Swix and Dominator.
Also, remember to wash yer' hands after waxing, it just makes good sense!