Commercial wicks - from some hardware or craft shop
String can be used or wicks from old candles
Beeswax
Paraffin
Old candles, melted down
Old crayon for color
Scents and wax colors can be purchased at some craft supply stores
Molds - or containers

Beeswax can be cut with a knife if the knife is warmed first. Wrap desired amount around wicks to form long tapers or cone shaped candles.

To melt the paraffin you'll need a double boiler and be real careful about how hot you get it as it is volatile. Old candles can be melted down in the same manner and crayon pieces added for desired color.

Yogurt or butter tubs will make good molds for your candles or pour melted wax over crushed ice in a square milk carton and add glitter - wow! Or you can dip the wicks repeatedly into melted wax in double boiler and let harden between dippings for tapers.