Soy wax is processed from soybean oil. Candles made of pure soy wax melt at low temperatures - about 46-57 °C (115-135 °F). The are commonly the lowest temperature candles and due to this fact soy wax is safe for wax play. It is a good choice to start your experiments with this practice. But such low melting point comes with some inconveniences - after you finish dripping the wax onto the skin it is quite difficult to remove because it is very soft. On the other hand being natural it is less likely to cause skin irritations. Keep in mind that 100% soy wax candles are always container candles, as such soft material can’t keep a sturdy form itself.
This type of wax is a type of natural wax produced by honey bees. Such candles are firm. The color can vary from light yellow to brown. The melting point of 62 to 64 °C (144 to 147 °F) makes them unsuitable for wax play use. Besides they are more likely to cause allergies.
Candle gel is a material made of mineral oils. It is transparent and odorless. Such candles look very attractive but cannot be used for wax play - gel melting point is around 70 to 90 °C (158 to 194 °F) and is too high to use on skin.