How do you clean the wax off these?

Don't use a knife to pry cold wax off the metal. It scratches the surface and can dent a thin pan. Instead, run warm tap water over the socket. The heat softens the wax enough that you can push it out with a wooden stick or a soft cloth. Dry the metal straight away to stop spots forming.

My grandmother left me a brass chamberstick but the cone thing is missing from the side, does it matter if I just use it without one?

You can still use it safely. Most of them parted ways with their matching cones a century ago. The slot on the handle will sit empty, but the pan works fine.

What kind of candles fit these?

Antique sockets vary quite a bit in size. They were made before standard factory dimensions became the norm. You might need to shave the base of a modern candle down. If it sits too loose, wrap a little paper around the bottom before pushing it into the socket.

I found a silver one with a sort of hole in the stem of the handle, but no hook for a cone. What went in there?

That slot held a pair of wick trimmers. Before self-consuming wicks were invented, people had to cut the burnt end of the string away regularly. The trimmers look like small scissors with a box on one blade to catch the hot ash. A chamberstick with this fitting is a bit harder to find than the standard cone type.