If you were to wax in the sun, You would get the wax to heat up and bond to the paint which could come out very bad. I would use large amounts of shade places where ever you are
And lets not forget Pinnacle's XMT 180 High Gloss Carnauba Paste Wax. "XMT 180 High Gloss Carnauba Wax can be applied in sun or shade and in climates of high heat and humidity. The wax dries to a clear gloss, even on a hot car."
ok, so I am not crazy. I was trying to think of a good reason as to why step one is always "apply to cool vehicle". I don't have much shade at my house so I have always waxed in the sun. I never had a problem but I figured if it was a no-no, you guys would know why.
Turtle Wax Ice and Meguiars Ultimate Wax can also be applied in the sun. The last time I used the Ultimate in the sun, it seemed like it was easier to use than in the shade.