Its the outside skin of the lemon. You can either grate it off with a fine grater, or buy a lemon zester. You don't want the pith (the white bit) just the waxy yellow part.
I would advise to get an unwaxed lemon. That waxy bit you have described is just that, wax. They wax lemons to make them look better for longer on the supermarket shelf. They sometimes also coat them in a fungicide before waxing.