When using the heat gun fan it back and forth over the wax area until it burns off. Works every time, never cracked a piece even on a smooth clay body.
I've never used a heat gun, but I've used a torch and it causes a carbon residue at best. These days I don't get wax on the bisque. Hmm, I can't actually remember when I last got wax on a pot. I have a heat gun at home, I'll give it a try on a mug sometime.