You can paint on several different types of supports when painting with cold wax/oil:
Arches Oil Paper: If you choose to paint on Arches Oil paper (which comes in pads, sheets and rolls), you will either need to frame your painting behind glass or mount it to a rigid panel for presentation. Cold Wax Medium works on paper should not be rolled or flexed since the surface may crack. You do not need to gesso this paper prior to painting in cold wax/oil.
Multimedia Artboard: This is a great surface for many types of mediums, and comes in a variety of sizes. You do not need to gesso this surface prior to painting in cold wax/oil.
Ampersand Encaustibord and Gessobord: Both of these products come in flat or cradled panels and are a favorite of many cold wax artists, including me!
Wooden panels/Cradled panels: Gesso these first if they are untreated wooden panels. Coat with 1-2 coats of acrylic gesso, letting each layer dry in between. Using cold wax medium/oils on panel forgives a lot of sins because the panel’s rigidity keeps the paint film from flexing over time.
*Other artists have used Terra Skin but I have not tried this product.