My daughter does this. There's a local supermarket, meant mainly for Scandinavian expats - the world's premier candle fetishists (Catholic nuns aside, that is). They sell bags of wax to make your own candles. But it costs about five times as much as just actual candles, which also come with a wick for free. How does that work? Why buy the pellets of wax - just melt down and re-form the candle.