I've never tried waxed paper, but people use plain old tightly woven cotton fabric, so it might work fine. I have some placemats from the $ store that work pretty well, but are tough to roll. I am looking to score some old carpet padding because that sounds like it would be good. I have also used cardboard from and old box and put packing tape around the edges. It worked well in that I could roll it, but it was definately a one use per resist thing.
Depends what you use as your base fabric and how thick you make it. Nuno felt is usually done with thin layers to make a gauze like or thinnish layer. I recommend you make some small test pieces first. Also, really look at the amount of yardage you will need to make the coat. You are signing up to make several yards of felt here. Perhaps you could make a plain felt for all of the coat except the collar and then make the outer edges of the collar with the exposed fabric edge. Or even make the coat of 'storebought' felt and embellish with nuno/ do the collar of nuno felt.
If you want to make the handle sturdier, how about taking a needle and strong thread and, well, sewing it into the middle layer of felt/ hidding the thread inside the felt - am I making any sense here. Anyway, when I bead on felt, I can hide quite a bit of thread under the felt, and I always think about how there is a web of crisscrossing nylon beading thread reinforcing my work.
One of my first 'works' was an eyeball. Later, I tried to make a [brown was all I had] starfish...... Which turned into a raven claw holding an eyeball. It stares at me from my computer table as we speak.
Very creative zombie parts - I too vote for a necklace.