In any quasi-metric space of homogeneous type, Auscher and Hyt\"onen recently gave a construction of orthonormal wavelets with H\"older-continuity exponent $\eta>0$. However, even in a metric space, their exponent is in general quite small. In this paper, we show that the H\"older-exponent can be taken arbitrarily close to 1 in a metric space. We do so by revisiting and improving the underlying construction of random dyadic cubes, which also has other applications.
