If you're talking about removing facial hair with wax, then yes, I have done it.
I have some hair, like on my cheekbone, above the area where the beard should be, and I don't like the way it looks. If I shave it, it's only gonna get thicker, so every month or so, I wax it off. They're very thin (but are noticeable) and honestly, it doesn't hurt much at all! I'd compare it to like someone pinching your cheek, which in my opinion is nothing at all. Definitely thinking about getting laser in the future for it, but for now, I just wax them.
If you're thinking about waxing your whole face, I don't think it's a very good idea. It would hurt A LOT, especially if you've shaved it before. But, if you really wanna do it, I'd suggest talking to an esthetician first, and see what they think about it.