This wasn't as difficult and messy as I thought it would be. Worked far better than trying to do this with honey.
I started with a little less then the amount that my container would hold of fractionated coconut oil. (I love that stuff...but I'm going to have to start using something else soon). I put that in a double boiler (well, the makeshift version) and I ground up the myrrh resin as much as I could. I put this directly into the oil which I heated, stirring for a good 15 minutes or so. (I couldn't tell you how much myrrh I used. I just "eyeballed it").
When it smelled decently of myrrh and was a nice golden color, I strained the oil back into the measuring cup I'd started with, and cleaned out the pan with a paper towel. I then strained the oil back into the pan, put it back in the double boiler and heated it again, this time adding beeswax until it hardened to the consistency I wanted. (Test this by dripping some onto a cold plate.)
Allow to cool enough that it won't melt the plastic container, pour into container and there you go.
It does not have a lot of smell once it's solidified, but when you rub it into your skin the scent returns.