Update
Today was, mainly, about experimenting - as well as finishing up the last packet of bags...
On John's suggestion, I bought a £10 fryer from Argos (it's £13.97 in the catalogue, but £9.99 in the shop) - in fact, I bought two. These worked as well as the saucepan, only with less mess and more convenience. And I didn't need to worry about the temperature, it maxes out at 190.

Simply wait for the wax to melt, add the bags, give it 5-10 mins to get the bags nice & soft; stir/poke/prod/scrape the bags about a bit until they break up. Wait 5 mins, repeat; etc. until dissolved.
For what it's worth, here's what I've discovered:
- Get the candle wax good & hot before you add the bags. 160 degrees is good, 180 is better
- Dump all the bags in, as 2 or 3 handfuls. Poke/push each bunch of bags under the wax (it will shrivel up a lot) to make room for the next handful. Don't bother cutting them up, it makes no difference to the melting time, and just means you've got millions of strips of bag to try gather up & add...
- Once all the bags are in and shrivelly, poke them a few times to get the wax into the mass, then close the fryer lid & leave for 5 mins.
- After 5 mins, the bags will soften. Using a stick (or screwdriver if you don't care about the non-stick finish), pierce the mass of bags and drag to the side. Push the stick all the way through the mass, effectively cutting it. Repeat, then start picking the blobs of plastic up & allow gravity to stretch/tear them back into the melt. Repeat until bored, or it's getting difficult to pick any plastic up. Wait 5 mins.
- Start stirring. Keep going until the mixture is smooth. Squash any lumps of plastic agains the side of the pan to try to break them up
- After 30-45 mins (total) you should have a silky smooth mixture. Fish any remaining lumps out with your stick (sometimes it's worth leaving the pan for a minute or two, as most lumps will float to the surface), wiping them on a suitable surface - a piece of scrap wood, cardboard, kitchen roll, etc.
- Pour into mould. I pour directly from the fryer, rather than using a ladle, mainly because I've not got a ladle here; also, I have a very low boredom threshold.
Finally; I got my best results using Tesco freezer bags (with tie handles - i.e. 100% plastic bags). I tried some Wilko bags, but they turned out to be more expensive for the same weight, and rubbish at dissolving. Whatever the white write-on stuff is on the Wilko bags, it doesn't dissolve:

Ignore the purple colour, I was experimenting with candle colours again.
Finally, I wondered about the yellow Argos bags the fryers came home in.... 'twas the work of but a moment to stir them into some wax:

The bags weren't LDPE, they dissolved differently; and the resulting mixture took a lot longer to set, and cool off, than the LDPE based stuff. It machines OK, but as you can see there's lots of air bubbles in it. It seems to be somewhat softer than the other wax I've made. Looks good, though, as a garish orangey-yellow colour

That's pretty well the end of this thread for now, I think; I will add to it if I ever find a source of raw plastic, or if I modify the setup I'm using at all.

I do plan to automate the stirring..... as that's the really boring bit...