Can’t give you the pros and cons of the two, I’ve only waxed.
The hair must be at least 1/4 inch long for the wax to grab it. I’ve been doing this for 3 years now and I wax once a month. In the beginning it was every two weeks. I also used a product called Kalo, which is a hair inhibitor and it worked well for me. Others might not get the same results.
I have noticed that the hair that does grow back on my legs is much finer and lighter than it used to be. I should state that I went to Sally’s beauty supply and purchased a wax warmer and a can of wax. That can last me 6 months or more. Its basically a simple process, I turn it on, let the wax heat and melt, use a tongue depressor to put it on, always put on the way the hair grows, and then use a strip of muslin in the other direction to strip it off. I love not having stubble, my legs are silky soft. Oh, use vaseline or vegetable oil to remove any residue from the wax. Vaseline works better than vegetable oil. They also make a product called Pre Hon which helps to remove our natural oil from the skin prior to waxing.
I’ll never go back to shaving my legs! Shaving encourages hair to grow and I want to get rid of it.