I have heard that using wax for hair removal makes it grow in finer. I have not tried it (successfully) for myself to know first hand whether that is true. However, I do tweeze, such as eyebrow hair, and those grow back at least as thick, if not thicker, than before. In this thread, bendeymonkey confirms at least in her experience that waxing = thinner regrowth. thread
Both tweezing and waxing use the same principal to remove the hair - rip it out by the roots - so why would waxing make hair finer when tweezing doesn’t?