I haven't tried making a perfume, but I've made balms and ointments using olive oil and beeswax and adding essential oils. I know I can smell my diaper rash ointment on my DS for an hour or so, but eventually it absorbs into the skin and you can't smell it as much.
I believe you can use any filtered (doesn't contain any chunks of comb, etc.) beeswax, but I've found the little pellets are easier to work with than big chunks.