No, doing all this waiting is not an idiom, but the construction is unusual in American English (the dialect of the movie, though the characters in question supposedly speak British English, as they're Irish). The men in this scene have been hired to quickly deliver proof that the man they're cutting up is dead, and B is sarcastically implying that performing the act of waiting has become a necessary step in this process when they ought not to be waiting at all. He's expressing his impatience with A.
All this waiting is an action being performed here, and B quips that he could be doing something else at the same time (taking a nap). It is not correct to use having or taking in place of doing here, because we use doing in the general case of performing an action. We don't take a wait or have waits, because waiting is not something that we frequently describe as being possessed, gained or received.
Here's an example. Imagine a man working in an office, filling out reports. He's extremely busy and behind schedule. There's a huge pile of papers on his desk. His coworker, who also has a lot to do, comes in and asks the man to cover for him while he goes out to run an errand. The man looks up and says incredulously:
You want me to take all your calls while I'm doing all this paperwork?
He takes (i.e. receives) calls, but does (fills out or completes) paperwork.
In the case of at the bone, A is describing the progress of his knife through the corpse's neck. It has arrived at the bone. To the bone marks the bone as the knife's destination, which it isn't. On the bone suggests a more lengthy action than is the case here. The intent is to cut through the bone quickly, not let the knife rest on it. If he had said I'm cutting on the bone, it would mean his knife is striking the bone but not effectively or efficaciously going through it, so it won't be cut apart any time soon.