Your skin will be the most sensitive when your hormone levels are high. For most women this is the week before their menstrual cycle. The week following the cycle is the lowest point on the hormonal scale and as such will be the least uncomfortable time to receive a wax.
Taking an anti-inflammatory medication, such as ibuprofen, an hour before your treatment is a great way to keep redness and pain down, as well. It should go without saying but medication should only be taken if it is appropriate for you.
Most of the actual wax treatment is out of your control. Tensing your muscles only intensifies nerve function so try not to clench. I say try because I understand that wanting to be relaxed and being relaxed are not the same thing!
If your skin is red or painful for a few hours following the wax try icing the area to calm down the skin and reduce irritation. Hydrocortisone cream is also a great way to calm the area.
The best way to prevent ingrown hairs is to keep the area exfoliated. This can be done in a number of ways - a topical scrub or rough loofah are considered "mechanical exfoliation". Gentle acids, such as salicylic which dissolve dead skin cells, are called "chemical exfoliation". For more sensitive areas, such as the face and bikini area, I would recommend a body wash or lotion with a low percentage of salicylic acid. For the durable areas of your body like your arms, legs or back then a good loofah or tough scrub will keep those empty follicles clear so the hair won't get trapped on it's regrowth.
Hair grows in cycles so for best results get your waxing done every 4 - 6 weeks. After a few sessions you will find that all of your hair is being removed at the same time which means all of your hair will grow back at the same time. The result will be the maximum amount of silky smoothness!