sounds like you were putting way too much wax onI have the same problem. I switched to Vic Firth sticks. I think they have a different type of lacquer that helps me keep the stick in place. I tried using stick wax, it makes quite a mess.
The wax had a blue tint, and it was everywhere. If I set the sticks down, I had to be careful where I set them because the wax would pick dust and dirt. It did end the slippage problem though. I still have quite a few pair of the other brand of sticks, someone suggested I try using rosin. Be careful, don't get a death grip on the sticks, or you'll risk more problems.
Going through the stick control book using trad grip.Good suggestions by all for fixing the problem, if your wondering why it's slipping it's usually because your not keeping steady or constant pressure under the thumb. Alot of kids think they aren't holding tight enough when learning to grip the stick but it's usually not an issue of how much pressure your using but how consistent the pressure is. So try not to tighten up to much, you want to have a pretty loose grip. Instead try to focus on keeping the thumb tite constantly always with about the same amount of force.