Ice cubes in plastic bag, hold against wax to freeze it then comb out with nylon comb. May need to be repeated several times. Success not guaranteed because of the fine nature of velvet and the fact that you cannot flex the material to break-out the wax particles
I'm not sure aboput applying heat simply because I'd be concerned about causing the wax to sink even further into the material.
Another possibility might be to use gentle heat and turpentine as turps is used to dissolve waxes to make traditional wax polishes, however it does niff a bit, it can leave and oil stain and it does have a pretty low flash point..... I'd still try freezing out first as that's what dry cleaners do (and is where I got the tip, although my local dry gleaner uses liquid CO2 to get rid of wax and chewing gum by making it son brittle it just splinters when the material is folded)
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