How does one go from soybean oil to soy wax for candles? I know it is hydrogenated, but how?

You'd need very costly equipment (catalysts); and chemistry background would indeed be preferable.

You know, I'm not positive.  I know that soybean and other oils are synthesized into burnable energy by a process called transesterification (swapping out the esters in the oil using glycerin).  Transesterification can indeed be done at home, and you can find several websites on how to do this.  The product is not a waxy substance, however, but what has been coined as "biodiesel."

I've found a website that attempts to explain in one very long paragraph of purple italic text.  I'll edit in a few minutes if I can find something better.

Edit: The website I've linked actually does a pretty good job, even if it is all in one chunk.  As a previous poster mentioned, it would require some expensive catalysts (hydrogen and nickel jumped out at me) as well as the means to bring things up to substantial temperatures.  Probably not something you'd want to do in your garage.