I bought the wax that already comes on the strips, it's just easier to use because you don't have to heat anything up or need any special tools which can be also messy. The 2 strips are back to back with the sticky stuff on the inside, you just rub the strip between your palms for like 10 seconds to warm it up a bit, then apply and smooth it on evenly on your skin, then rip it off, holding the skin taught. It's surely better that some chemical lotion that stays on your skin for a longer time. I was a bit anxious the 1st time I tried it as well, but it was actually a lot easier and less painful than I thought it would be, honestly, it's more painful to stub a toe or something, lol.
It only hurts for like a split second if you rip it off in one go, I also have sensitive skin and I haven't had any reaction to the wax at all. You might notice slight redness right where you waxed for like an hour after but it doesn't hurt and it goes away. I just do it at night after showering, works well and really removes all the hair, even the very fine ones if you do it propperly. I actually find it less painful that tweezing because you only have one moment of ouch, rather than lots of little ouches because the skin is quite sensitive in that stop. They usually come with those oily cloths to remove the left-over wax after, or you can just use baby oil on a cotton pad.