Is wax paper needed to bake clay?

If you are firing it in a kiln, absolutely not, considering that it gets to over a thousand degrees and the wax paper will just burn and cause ash particles to stick to your pottery (and the wax might just mess up the surface of your piece)

If you are baking it in your oven... i guess it can't hurt but the clay might stick to the wax paper. I don't see the need as the clay will harden and lift off the surface it was on.