Where to find?

I am looking for somewhere to obtain machining wax. I am not sure what it was called, but I remember using a blue wax in one of my early CNC machining classes; that was some time ago though. I am looking to do some small scale prototyping, and I thought this material would be good for this when I found the one class project that I made with the wax. I would like to know what it is called, and where to obtain it. I have tried to use parafin wax, and beeswax purchased from the grocery store and an art supply store respectively, but they were too soft and melted even at low lathe speeds. I am looking to use them in both lathes and milling machines. Can anyone point me in the correct direction. Thank you.

Cheers