This really all depends on a variety of factors such as:
What kind of wax are you using (dedicated wax or cleaner wax)?
How are you using the wax?
Is the pad getting dirty as you use it?
If you are applying a regular wax/sealant you will not need to clean or change the pad during application over an entire vehicle. Some people prefer to change the pad frequently to ensure that there are no foreign contaminants or dirt stuck in the pad potentially marring the paint. If the vehicle was properly washed/prepped and indoors for wax application this will be less of an issue.
If you are using a cleaner wax the rules change a little bit. The amount of time you work a cleaner wax aka AIO (a wax with abrasives suspended in the liquid, like a polish) will dictate how often you need to clean or change the pads you are using. If you are simply using the wax to lay down a layer of protection continue with application as you would any other wax. If you are working the AIO wax longer (more section passes per panel) to achieve a higher degree of correction you will want to clean your pad and/or change it after each panel, or as necessary, the same way as when you are using a dedicated compound or polish.
Also, you will of course want to clean or change the pad if it ever gets dirty which could happen if it catches on a panel seam that isn't completely clean, etc.
I hope this clears up any confusion. :xyxthumbs: