Historically, candles have been made of either tallow--basically animal fat--or wax. There are two basic methods. Either you can build up a 'taper' by successively dipping the candle's wick into the wax or tallow while it is molten, then allowing it to harden, or you can pour the molten material into a mold inside which the wick is hanging.
It's important that the material and size of the candle wick is matched to the size and material of the tallow or wax; if not, the candle may smoke excessively, melt too fast, or tend to go out. People have generally experimented to get this right, though I imagine that a little research online will turn up any number of 'recipes' that work well.