If your cheese is covered in wax, then you don't have to refrigerate it. Just keep it in a cool, dark place. Once you cut it open, then I would suggest refrigerating it after wrapping it very well in saran wrap so that it does not absorb all the other funky flavors that are in its neighborhood.
Cheese in general doesn't need to be refrigerated, particularly if it is encased in wax or a more natural rind.
In fact the only reason to keep cheese covered at all is to keep the fat in the cheese from sucking up funky flavors and drying out.
But as for refrigeration?
Consider that cheese ages on unrefrigerated shelves for months or years before it is put in your grocer's refrigerator case. Also consider that people have been eating cheese long before refrigeration... think food for sailors on the great european sailing ships. Cheese was invented as a way to make milk immortal. It's modern American psychology that has made us so paranoid about refrigerating everything.