The hair dryer is really a useful tool. The most important thing is that the wax is soft enough when you apply it, if not, you will end up getting clumps and pulling out hairs. Some waxes require the hair dryer method, some don't. You just have to do what feels right and gives you the result you are looking for.
I bet no two guys wax their moustache the same way - similar, sure, but not the same. I recommend go to YouTube and search for "how to wax a moustache" and watch some videos. Some videos are better than others, but it can certainly be nice to see a variety of approaches and then test various techniques on your own moustache.