According to just-release U.S. national guidelines on earwax removal, you should leave it in your ears.
Earwax is a self-cleaning agent, with protective, lubricating and antibacterial properties. That's why tiny glands in the outer ear canal constantly pump it out. Excess earwax normally treks slowly out of the ear canal, carrying with it dirt, dust and other small particles.
When individuals poke around in their ears with cottons swabs or other foreign objects, earwax can actually build up and block part of the ear canal.