The inventor David E. H. Jones, better known as Daedalus, described a very similar underwater glider in one of his columns. From memory, his version exploited a liquid that changed volume with temperature, rather than a wax (and the temperature-volume relationship was in the opposite direction).
The column is included in the compilation "The Further Inventions of Daedalus" published in 1999. I think an early prototype of the wax-based mechanism (apparently an independent, though later, invention) had already appeared at the time of publication.
It's astounding how many of Daedalus' crackpot schemes later emerged as real inventions -- occurrences Jones documents with enthusiasm in the two compilations. One great example is the similarity between Daedalus' "Unisphere" and the much later Segway.
If entropy is increasing, where is it coming from?