Parchment and was are pretty much interchangable, EXCEPT where heat is involved....wax will melt off so you have to use parchment then, but for rolling out a room tempture dough you should be okay.
That will make it a bit easier to release, but usually a recipe that calls for dough to be rolled between paper does so because you do not want to add any additional flour to the dough.
The first time I ever bought parchment paper was to roll something out. I'm hooked on the stuff now. I use it for bacon in the oven, cookies, biscuits, lining cake pans. I love the stuff.
Parchment paper can be found in the same section that foil and wax paper are found.
Parchment paper is just a teeny bit thicker than the wax paper and can withstand high temps in the oven.
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