Gently wash your hair with warm water (though it's recommended to use something that smells nice to combat the egg smell). Skin-safe adhesive remover can effectively remove Vaseline from your hair.
Another tip: use some Vaseline as a "border" and use a headband ... applicator to get it directly on the scalp to avoid the hair and face. A commenter said it's best to wipe the perimeter ...
Although beeswax is generally well tolerated by most, serious allergies to Vaseline are pretty rare, making it a good option for sensitive skin types too. It contains a single ingredient ...