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Jean, in the US "waxed paper" has become an anachrism since the 1950's. We still have it, but I think anyone under 30-40 will give you a blank stare if you ask them what it is. We also have "butcher paper", aka "freezer paper", tow similar products that are heavier for wrapping and freezing meat. Either of them would also do. And "cooking parchment" which is probably the exact product, but that's used by folks who follow Martha Stewart and such, not commonly found in grocery stores.
I still can't imagine why anyone would use one of those products, instead of a plain piece of cotton bond (stationery) or typing paper. Then again...might as well use a folded dollar bill. US currency is a very high quality silk paper, actually not a bad way to clean glass surfaces.<G>