[Microcrystaline wax should do what you're talking about- adding and subtracting material indefinitely. It helps if you use a hot tool when adding wax to wax; you get a better bond. It doesn't work the same way as clay, though- it's stickier, and this has to be taken into account. When carving detail, make sure to keep your tool as clean as possible, to avoid smearing unwanted debris into the piece. Waxes are also temperature-sensitive, so a wax that works well in winter may be too soft for summer use. But this quality can be used to your advantage, by heating the wax to pliability with a hairdryer for establishing the basic forms,then coming back when it's cold and adding details with tools.
If you like carving, there are special carving waxes which jewelers use, although some are not amenable to additions. The red wax I've used (Sierra Red) is quite hard, and is carvable while retaining the ability to be added to. You could also try alloying hard and soft waxes until you came up with a blend that fit your working style. There are also 'machinable' waxes which are used for prototyping- these are like carving wax, but are easier to melt.
If you really don't get along with wax, you might try working with oil-based clay- it's intermediate between clay and wax, and is more like clay to work. It can be purchased in various grades of hardness, or you can make your own in whatever hardness you want.]
Andrew Werby
UNITED ARTWORKS- Sculpture, Jewelry, and other art stuff
http://unitedartworks.com http://www.computersculpture.com for 3d design tools
