I use hot wax, warm it up to the appropriate temperature according to the instructions, and then apply a thin even layer to an area of hair i want to remove. Spread the wax on in the direction of hair growth, and then take the strip provided and press it on firmly to the wax. Hold the strip from the bottom, and swiftly .. vey swiftly ... pull it up against the hair growth. Doing this slowly hurts more, and less hairs come out. Repeat on remaining hair.
Hair doesn't grow back thicker. The hair is pulled from the root, and so unlike shaving there is no blunt edge, which makes the hair seem coarse. I've ben waxing for a long time, and the hair growth appears to be sparse. Depends on which cycle of growth the hair is in, so appears at different times after waxing.
I've heard of Nad's - never tried it. I use Veet and it works fine for me. I have tried sugaring ... attempted to make my own which was very time consuming and didnt work. Apparently sugaring attaches to the hair, and not the skin so much and therefore, there is less pain involved. It uses natural ingredients, so is also not as harsh perhaps, and may have some other benefits? I'm not sure. I wouldn't try using a ready made sugar now, seeing as waxing works for me, and that recently i prefer to epilate instead.
If you're unsure about what to go for, maybe visit a salon and have them show you, or try the different types. Also, if you haven't waxed before, going to a salon for the first time will give a good indication of how it will feel and will make it easier for you to try yourself next time!