you can do 2 things
if the grill comes off, put it in the freezer for 10 minutes and the wax will harden and them fall off easily. (but you still may need to use a toothbrush or washcloth)
Or melt it with a hairdryer, but you take a chance of melting the plastic. If it is a Soy wax candle it will melt easily and faster, but paraffin wax melts at a much higher temperture and it may be too much heat for the device. In that case, check Bed Bath & Beyond for a wax removal solution kit.
Next time be sure to burn soy candles, they are much easier to clean.