Waxworms are super easy to breed. The only problem is that they are not the best of feeders, and within a month or two you will have more than you will ever be eble to reasonably use.
See more at
http://www.exotic-pets.eu/waxworms.php
I was given some waxworm pupae over the summer and decided to try breeding them for fun. I pretty much followed the directions in the link above as far as container and cardboard. I used wheat bran and wheat germ mixed with honey (heated up like the sheet says), but also added some ground up dry dog food and some calcium and multivitamin powders. I used the biggest Mason jar I could find, and used a small piece of craft store bridal veil tulle under the lid ring to make a mesh top for the jar.
Then, I just left it on a shelf in the garage for a month in July/August (warm and dark).
I ended up with a TON of waxworms that I was never able to use up.
Home-grown waxworms are actually kind of interesting to watch. They move around much faster than their store-bought equivalents.