Been there, done that, barely survived.

Complete instructions at this site, easy to do but you do have to be
careful that
they don't escape.
University of Kentucky REARING WAXWORMS
Rearing Waxworms | University of Kentucky Entomology
Quote:
Use glass or metal containers such as wide-mouth glass jars, plastic crispers, large lard cans
or honey cans. Larvae will chew through wood and soft plastic. Use 20 mesh wire-screens for lids
or covers.
One thing I would like to add to the info is to be very careful that the screen is of very fine mesh. Freshly hatched waxies can squeeze through your average window screen, and they can climb up the sides of a glass container via the silk threads they'll spin while growing. If the moths or worms escape into the house and/or walls, it could take years to get rid of them completely, even in the far north. I'm in Canada, our winters are frigid cold, but it's not cold enough to kill them off if they're happily tucked away in the attic or wall insulation. It took me over 3 years to get rid of them, the moths fly all over the house to lay their eggs. Lesson learned -- don't trust a waxworm to stay put and behave nice. A friend of mine didn't believe me (even though she saw the odd moth flying around my basement) ... she's now a devout believer and follower of the "let someone else raise them, I'll just feed them off" train of thought.
It's best to use glass jars, larger ones like the candy jars stores use or plexiglass containers. The worms can and will chew through drywall, fabric, important papers sitting on your coffee table as well as the table itself and wooden furniture (personal experience here with all of them).