After having done it once, I'm a proponent for dipping my freshly bottled wine into wax instead of using the shrink-on sleeves. Now that I've done both, I think the wax is more classy and the sleeves more work... but that is just my opinion.
What I'm wondering is, since the wax does a good job of hermetically sealing off the corks from the ambient atmosphere, is there any strong reason for storing the wine on its side after the corks have set? (By the way, I do give the corks time to set before I do the wax job.) I think storing the wine stacked in boxes is more convenient and leaves my racks for stuff ready for the table.