Creeping fluids such as WD40, or PB blaster work on the principles of capillary action.
Read it for yourself:
However, as most things in life, the producers of these fluids must design their products to real world limitations and expectations. It must be a point and shoot fluid, without much risk to the user.
Capillary action, as a virtue of chemistry however, doesn’t care about socially perceived limitations. Among other things it likes heat and a uniformly spaced gap.
When talking about rusted and seized bolts, iron oxide occupies the spaces between the threads. By heating the metal, the tolerances between the threads starts to change, creating almost a pump like action of sucking the wax into the threads. This tolerance change, coupled with the viscosity change of wax at high heat, creates the perfect set of circumstances for capillary action.
The best part? Burning wax is completely safe for your health! I mean after all, wax is used in candles (which also work on capillary action).
Capillary action is also a major factor in brazing: