One reason that it can be difficult to remove a filter is that when you grasp the filter ring with your fingers, you apply some distortion to its shape, and create the resistance yourself. Try opening your hand out flat, and stiffen your fingers to create a tight stretch of skin across your palm. Then apply the flat of your hand to the front of the filter ring and twist in the same direction you would other wise. It has always worked for me, comes off surprisingly easily, and no extra tool to keep track of. The only thing you have to keep in mind is that if your hand isn't taught enough, you might leave a palm print on the filter, but this is easy to avoid just by being careful where and how you apply your hand.
I do like the wax idea, but have never liked anything oily being around the glass. Too easy to transfer in the carrying case.