Wax is rubbed or melted and smoothed onto the bases of your skis. You can do this yourself. When you begin skiing, it will be distributed over the running surface, but it wears off quickly. You can learn to hot-wax your own skis, using an iron or special waxing device. At some ski areas, you can simply ski over a coin operated waxer right on the slops.
Hot wax lasts a lot longer than rub-on wax.
When you ski, the friction of the ski base creates a light film of water that actually reduces glide ability. A layer of wax on the ski base breaks the film up into small beads of water, enabling the ski to turn more easily. You can also take your skis to a shop and have them hot-waxed. The least expensive hot waxing is to run the ski over a roller that applies the melted wax, similar to the ski-through system you may find on a mountain. However, in a shop, the excess is allowed to cool and then scraped off.