First, we need to think about how a candle works... Many people don't realize that the wax is what really fuels the candle, not the wick. The flame heats the wax to a liquid, the liquid wax gets sucked up the wick, and then burns, creating more heat and Starting the cycle over again.
Wick:
Many different materials can act as a wick, though some better than others. Basically anything made of a fiber (Wood, cotton, etc.) can act as a wick. This is why you need to be careful with such Things as burning paper around candles. An errant piece of burning paper that touches a candle can act as a short-term Second wick. This has been known to cause all kinds of problems.
Wax:
Wax is a very flammable substance. When it's heated to it's melting temperature, it has a lot of properties in common with oil or grease. It burns easily, it's lighter than water, and can spontaneously combust at a high enough temperature.
Free eBooks (Can Be Downloaded):
Julia Phillips - History Of Wicca In EnglandFrater Achad - The Anatomy Of The Body Of God
Aleister Crowley - Tanhauser A Story Of All Time
