No, waxed paper is not meant for use in the oven — the wax coating on it will melt if the paper is exposed to direct heat, it could even ignite. It's just used for wrapping up sandwiches or food for cold storage.
Parchment paper is the best choice for cooking, as most brands can withstand temperatures up to about 420°F (215.5 °C). It is treated with silicon so it won't burn in the oven, although it will dry out and begin to crumble over a long baking period.
It can be used safely in the toaster oven and will save some clean-up time. But please make sure it's not hanging over the edges or in a position where it could touch the heating element of the toaster, as it will burn if directly touching a heat source.
Here's how to use parchment paper in toaster oven from Leaf.tv.