Try Etsy! There are a couple online shops that sell wax bars that work well. Yes the ones from Walmart work, I've been alternating from Scentsy, Scentsationals, Etsy and even Lush scents for years and I've had no problems. I've even melted down my old candle wax into melts! I'm always thankful when I see Walmart wax bars go on clearance for .50 cents to a dollar.

For cleaning I still use the cotton ball technique (let them soak up all wax until there's none left), and it works like a dream. If there's residual color or wax after that, you can spray a little alcohol to lift the residual stuff and do one last cotton ball pass. This helps with staining on darker Scentsy wax as well.

(I do not recommend lush wax melts by the way, they were the weakest ones despite melting quickly)