The idea in paraffin therapy is to heat paraffin wax so that it melts and then apply the wax to hands or the skin of other body parts that need moisturizing or to sore joints that need the therapeutic effects of the hot wax. Certainly, the basic idea makes sense.
Warning: The trouble is that paraffin is a petroleum derivative, and as such it is a known carcinogenic agent. That makes it hardly the sort of thing you want to heat up and apply to your skin for an extended period of time.
An Alternative: May we suggest a natural alternative? Consider using coconut oil as a truly natural remedy for your dry skin, cracked hands, or other skin care and joint care needs. Coconut oil behaves in much the same way as paraffin wax, but it is a much safer and more therapeutic natural ingredient. We use it all the time for our skin care routine, heated or not!