If your skin is dry before you apply wax, it will try to soak up the moisture in the wax. This causes the wax to sink into your skin a little and stick to it, making it difficult to pull off. ... You want your skin to be hydrated, but not greasy, or else the wax won't effectively pull out your hair.
What to do if you wax off your skin?
Apply a generous layer of petroleum jelly to the area with wax residue. After five minutes, wipe the area with a clean cotton pad. This should take off the wax, along with the petroleum jelly.