Explanation:

- Melting of wax: This is a physical change. The state changes from solid to liquid, but no new substance is formed.

- Heating of iron: This is a physical change unless it involves oxidation or other reactions. Simply heating and cooling iron doesn't change its composition.

- Dissolution of sugar in water: This is a physical change. The sugar dissolves, but its chemical structure remains the same.

- Burning of magnesium in air: This is a chemical change. Magnesium reacts with oxygen to form magnesium oxide, a new substance.

- Correct Answer: Burning of magnesium in air