Lance - I have used a wide variety of waxes (bees wax, paraffin wax, cobblers waxes, liquid wax, assorted dubbing waxes ranging from lightly tacky, to goopy/sticky). Bees wax is a nice choice, due to its easy workability, and its ready availability. I have not tried the "winter wax" you mentioned, so I can not give my opinion. Keep in mind that this wax may need to be warmed in your hand, before using it. Some waxes are not very workable in the cold state. If this wax has a lot of resin, it will be quite firm when it is cold. The resin will tend to create greater grip, but makes wax blends more difficult to work with. The workability of some waxes improves with use. In other words, the more you handle and use a piece of wax, it become softer and easier to work with. I believe handling the wax mixes in some natural oils from your hands, which progressively softens the wax.
I have some Leisenring wax, which is very hard when you first use it (high resin content). It requires a lot of warming to make it workable. Sometimes I will make a hot cup of tea, and warm my hands on it, to then warm the wax until it is workable. I keep a small piece of the wax on the side of my index finger, to keep it warm & pliable.
The best wax I have ever used was made by our friend Bill Shuck. His cobblers wax blend is soft, easy to work with even when cold. "Shuck Wax" has become my favorite wax, for most applications. Bill Bailey (wsbailey) sells a tying wax which is very close. He sells a range of different waxes.
There are some techniques which benefit from a wax with greater tackiness, but not many in my opinion.
Anyway, bees wax is a nice wax for forming dubbing brushes, but don't give up on the winter wax. You may just need to learn how to work with it. All part of the fun of fly tying.
EDIT - ADDING OTHER SOURCES OF TYING WAX:
http://www.feathersmc.com/products/Cobblers%20Wax
http://www.jimsflyco.com/wax/jimsflyco- ... tying-wax/
http://greatfeathers.com/materials/ceme ... r-wax.aspx