Many don't survive, but a number -chiefly of Scottish Gaelic song- were found in storage when Malcolm Taylor took over at the VWML. These, together with some recordings made by other collectors, have been digitized by the British Library, and can be heard as streaming audio at  British Library Sound Archive: Ethnographic Wax Cylinders:

Wax cylinders: EFDSS Collection

There is also a podcast of a talk given by Malcolm and others which goes into detail:

http://www.bl.uk/podcast