@MikeMason--I love homemade hair wax, I've been using one for years and it's better than anything I can get at the store.
I make mine with palm wax, shea butter, castor oil and essential oils. I don't want a wax that only gives shape to my hair and makes it glossy but also something that nourishes it. My hair also tends to go crazy when it's humid, so I want something that will prevent fly-aways for a long time. This recipe which I found after a long search does all of these perfectly.
Castor oil and shea butter are really good for hair and nourish it and make it smooth and shiny. The wax keeps everything in place and I put essential oils just to make my hair smell good. My favorite essential oil for this is rose. The only important tip for making hair wax at home is to mix really well, just take your time while mixing it.