Wax is to protect the finish from the bugs, not to take them off.
happycamper's tip is a good one. Another thing you can do is spray a liquid detailer or any liquid that is meant to clean protect your cars paint on the bugs and let it penetrate.
A microfiber towel (or cloth rag) will take it off, you might have to reapply water/liquid and then clean it up.
After its clean, if you're like me you'll take the time to wax well regularly. When the car's waxed it makes cleaning bugs etc sooooooo much easier. Bug's and dirt will just slide off!
I use only easy to apply waxes though like optimum OPT wax (http://www.autogeek.net/optimum-spray-wax.html
So easy to use and no hazing so it's nice and quick!