yep. When you render the wax they will get filtered out on the first rendering. If you boil your wax they may even be pretty tasty!!!
Older brood comb really makes a mess when rendered. As far as I am concerned the small amount of wax you get is not worth the incredible amount of cocoons etc that you have to scrape/filter. Newer brood comb isn't as bad.
For general use I usually render and filter twice. If my wife wants wax for her candles I will do it three, maybe even four times to get the wax as clean as possible.
First render I use window screen to filter the wax. Let it harden overnight, scrape the bottom clean.
Second render I use cheese cloth. Let it harden, scrape the bottom clean.
If making wax for wifes candles;
I render a third time and use a t shirt or similar material to filter the wax. T shirts like to absorb a lot of wax though, so you will lose a bit.