Well, the plastic bag trick will work but not nearly as well as wax paper. As Gary explained it to me, the wax paper leaves a small amount of residue behind and acts as a very mild lube.
When I first got my Presentation Grade MCV I holstered my gun right away and had to resort to lots of cursing and a bench vise to pull the holster off the gun - entirely my fault (unless I can figure out a way to blame Bud). Once I got it loose I noticed we were out of wax paper too but we did have several rolls of freezer paper - I used that wax side out and wrapped the gun in two layers. It sat overnight for about 4 to 6 hours and in the morning it was broken in enough to wear after a few dozen practice draws. One word of caution: Freezer paper is thicker than wax paper and, apparently, more abrasive. I ended up with a small spot on the slide where the parkerizing was rubbed off - again, entirely my fault. I wasn't overly concerned as this is an edc SA Mil-Spec and not a beauty queen by any means ... I intend for it to be used and used hard. If your finish is less than durable, I'd wait until I could get some wax paper and break it in with that.
Jack