Braces may cause irritation to the inside of your lips and cheeks, causing a sore. This is caused by the braces rubbing against your tissue and is usually most common shortly after braces are put on and subsides afterwards.
A small piece of the wax provided to you can be rolled into a small ball and pressed onto the braces adjacent to the sore, creating a smooth surface for your lip or cheek to heal against. Drying the braces before putting on the wax will help it stick better.