Candle making can be tricky but it's no impossible. When I first started, there were a thousand and one things that I had to learn for myself and so instead of trying to list every trick I have learnt, I will just try to point you in the right direction. Don't worry, I will try to give a few hits too!
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Ingredients And Tools
When making candles the first thing that you must consider is what kind of candle you want to make. Do you want a candle that burns quickly? Maybe a small candle that lasts a long time? Depending on what you want to do, the ingredients you choose will matter a lot. Beeswax, the most expensive but nicest ingredient to work with burns quickly. Paraffin on the other hand is pretty cheap and burns longer than beeswax. It is okay to use but I would suggest a combination of both ingredients in different ratios.
I'm sorry to say it but just any old saucepan won't work too well. First of all, it probably won't be deep enough to dip candles and it will also heat too quickly, burning the wax. I'd suggest a using a deep saucepan with a thick slow heating bottom and a good handle that won't burn you even after a few hours of heating. If you can't find such a saucepan, then you might be able to use a deep glass saucepan. In both cases, use a heat dispurser to be on the safe side.
If you don't wish to dip your candles, you can find candle molds in a craft store. They shouldn't be to expensive. Read any directions carefully before you begin. I've found that old test tubes work pretty well but unless you can find them at a second hand store, they're expensive too.
Heating The Wax
Don't be over eager! Making your own candles calls for patience. I know it's really hard to resist turning up the heat to hurry the melting but don't do it! Your wax will at worst catch fire or less dramatically start to scorch. Either way, you'll have to start form the beginning. Go slowly at a moderate temperature. Once the wax is liquid, turn the heat down just a notch and let it sit for a moment. If it is not hot enough, then the wax will start to harden again. If it's okay to leave, then nothing should happen. Always keep an eye on the wax. It can be temperamental!
The Wick And Dipping The Candle
The wick should be a thick enough to burn correctly. If the wick is not thick enough, it will probably go out in a pool of wax. Too thick and the candle will burn too quickly. Buy the wick material in a craft shop. It shouldn't be too expensive so you should be able to get a good amount of it at one time. The next thing you need to do is tie the wick to a coat hanger bent straight. If you wish, you can bend the coat hanger so that more than one candle can be made at the same time but start with one. Once the wick is tied at one end, you can start to dip.
With the first dip, you'll find that the wick will just want to float on the surface of the wax. Using a wooden spoon, push the wick into the wax. Make sure that it is nicely coated. When you pull it from the wax, make sure that it is straight. Once the wick is cool and the wax is hard, you may dip again. The trick here is to dip so that another layer is added but not enough time passes for the previous layer to melt away. This will take some practice and fiddling. The ratio of ingredients also changes how long you dip for. Experiment and remember to write down the ratios of ingredients and match them to dip times.
Waiting for the wax to cool after a while can be frustrating. The waiting time can increase a little after several layers have been applied, so make doubly sure that the candle is cool. You can hurry this process by dipping the still slightly warm candle in cool water. Make sure the water is not too cold and that you wipe away all water before dipping the candle again. If water or air is left in a candle, it can explode when lit. Be careful and this shouldn't happen.
Candle Molds
This type of candle making is less labor intensive but it still requires long periods of waiting for the wax to solidify. Different types of mold will need different things so read the directions before you use it. In general, candle molds just need you to add the wick and the wax. When you pour the wax into the mold, make sure that the wick won't float on the surface of the wax. Once the mold is set, leave until cool. Remove the candle as per instructions. If you have any problems, warm the mold enough to let the wax outside to melt slightly. Then slip the candle out.
Although it can be done, I wouldn't suggest that this type of candle be hurried along by immersion in cool water. This can cause the candle to set unevenly.
Sand Candles
Most people have heard of sand or hippy candles. These are cheap and easy for anyone to make. Simply get a tray of sand and moisten with water so that it will firmly stick together. Shape the sand into the shape you want for your candle. Add the wick and wax and leave to sit. When cool, just dig from the sand.
Beeswax Sheet Candles
To make this kind of candle you need to have the thin sheets of wax that come straight from a bee hive. Unless you can find a bee keeper who is happy to sell you the wax, it will be expensive. This kind of candle is fun to make, and requires no heating. For this reason, it's a great activity for children. If you find a few sheets, cut into a long rectangle. Take the wick and lay it at one end of the rectangle. Slowly roll the bees wax and wick so that a tube shape is formed. These candles will burn quickly.
Herbs And Essential Oils
Herbs and essential oils are great to add to candles. If you add an essential oil to hot wax, it will evaporate and because of this problem, it is very hard to perfume a candle without commercially made perfumes. Should you wish to add an essential oil, then I suggest that you add the oils to the dipping wax at the lowest possible temperature (just before it solidifies). Then dip quickly before the oil is burnt off. Then once the candle is made, you can 'soak' the candle for a while by anointing the candle liberally and then wrapping it up in clear plastic wrap. Leave to sit for a few days. Sheet candles can be great to scent through essential oils. As you roll, add a few drops of oil.
Herbs are much easier to use. Just add the herb to the wax while heating. Let the herb and wax simmer for a while before removing the candle. The properties of the herb will mix with the wax. If you dip candles, then the herb itself isn't a part of the candle but you can press herb pieces into the candle when taken out of the wax, and then dip when cool. With molds, just shake so that the 'chunky bits' don't settle to the bottom.