The above MSDS is for paraffin, not machinable wax.
Here:
http://www.freemansupply.com/MSDS/sc...chwax_comp.pdf
The ingredients are listed as "proprietary", that enough to scare you?
From the MSDS it appears the most damage is caused from inhalation of fumes generated by thermal degradation ie. overheating. Maybe a double boiler type of apparatus would prevent this. In any case, I would still recommend doing so in a well ventilated area suitable for the purpose.
Here is there specification for the process:
http://www.freemansupply.com/instruction/Reclaiming.pdf
found that here:
http://www.cnczone.com/forums/showthread.php?t=26624
Matt