Wax paper and parchment paper are not interchangeable, especially for baking. They both look similar with a dull sheen and serve a similar purpose to prevent sticking. They can be used to line counters or create barriers for sticky doughs. Wax paper is the more cost-effective of two and is ideal for rolling out pie crust, cooking or kneading bread. Wax paper will adhere to items that have moisture such as deli meat or cheese.
One critical difference between the two is parchment paper can go in the oven where wax cannot. Parchment paper is treated chemically to withstand exposure to heat, liquids and oils. A wax paper is triple-waxed to be food-safe but isn’t heatproof. This coating will melt if put in the oven, or even catch fire at high heats. Parchment paper can withstand heat up to 420 degrees Fahrenheit, making it appropriate for most baking. It’s also a great substitute for aluminum foil for lining baking sheets. Save your wax paper for lining a countertop or wrapping up foods. You can even curl it up into a cone to funnel excess ingredients to their containers.
Source: Simply Recipes