You did not say what you wanted to support with the "Support Material".
I would not be surprised to find the wax used in the Lost Wax casting process might be a place to start. You can probably find much info on YouTube about that.
Sorry I should have mentioned I have a 3D Touch printer and want to use wax as a build material. Is there wax available for this printer? If this was available I could use slip casting to produce parts in metal.
I'll take a stab at an answer however. Machineable wax is very brittle (as is all wax) and I don't see any way for it to be drawn into a filament that would survive being pushed into the extruder on the Touch. I have the BfB 3000+. The extruders are essentially the same and I can't see how it could work on my machine. If there was a different kind of extruder, say something with a reservoir that would hold the molten wax then maybe but that would probably require a completely different machine.