Question: Is it our minhag and is it more mehudar to specifically use a havdalah candle made out of beeswax? Is it more mehudar to have many wicks?
Answer: 1. Yes, there is a hiddur mitzvah to have more than one flame for the havdalah candle. The Alter Rebbe writes in Shulchan Aruch – Hilchos Shabbos in paragraph 4 of Chapter 298: “The optimum manner of fulfilling the mitzvah is to recite the blessing over a torch containing many [burning] brands and many [sources of] light, for the blessing uses the wording “ borei meorei ha’eish” [“Who created the lights of fire” in the plural], an expression implying many sources of light.” .
2. Yes, there is an inyan in a beeswax candle for Havdalah as brought in Halocho and Chassidus as well (see sources below). The Alter Rebbe writes at the end of the above paragraph: “There are those who, for an esoteric reason, customarily recite Havdalah using a torch made from beeswax candles.”