Homemade capacitor - crafting and testing
If you take two sheets of dielectric (perhaps PET) and two sheets of aluminum foil and roll them into a cylinder you'll get almost double the capacitance of an equivalent area of parallel plate capacitor, because both sides of most of the plates are used.



The capacitance is about 

C= \$\frac{2\epsilon_0 \epsilon_rA}{t}\$ where 

A is the area of the plates (in meters squared) 

\$\epsilon_0\$ is the permittivity of free space 8.8E-12 (fundamental constant)

\$\epsilon_r\$  is the dielectric constant of the plastic 3.4 (look this up)
 for wax paper it's similar- 3.7. 

t is the thickness of the dielectric in meters (foil thickness does not matter for capacitance, except it makes the capacitor bigger)

You can look up the dielectric strength of the material to get an estimate of the voltage capability (don't get too close to the limit). PET is 400V/mil (1 mil = 0.0254mm). Wax paper is reportedly 30-40MV/m. 

So if you roll up  2m x 0.2m pieces of foil and PET 0.004" thick you'd get a capacitor of capacitance ~240nF good for at least hundreds of volts. You can work it out for the wax paper situation once you know the thickness. 

You can safely test it with a capacitance meter after making sure it is discharged. Making the dielectric thinner reduces the voltage capability but increases the capacitance. 

Commercial parts use thin plastic dielectric and better techniques- a comparable part would cost a couple dollars and be 18mm x 12mm x 15mm. They would also be a better part electrically because they would connect to the edges of the foil so the parasitic inductance would be less.