I've wanted to do this for ages, so got an old coated candle, some white tissue paper, my stamps, Promarkers and ink pad. I had so much fun with it and was very pleased with the results.
I firstly cut out a piece of white tisue paper the right size to fit around my candle and stamped my image on to it. I wanted to add a hint of colour to the butterflies and writing, so used Promarkers gently on the tissue paper. If you press too hard or if the pen is in contact with the tissue paper too long it will break the paper and/or flood the tissue with too much colour. Once I had done this and my image was ready I wrapped the tissue paper tightly around the candle and then covered with grease proof paper. The grease proof keeps everything together while you heat the candle and excess wax sticks to it.
When you heat, keep the heat source moving or you can over heat and damage the candle, I used my heat gun on high, heating one section of the candle at a time. As the outer layer of the candle melts you can see it quite clearly through the grease proof paper. As soon as you see this happen it's time to move to another section until the whole candle has been heated. I found scrunching a section of the grease proof made a handle for me to hold the grease proof smooth against the candle, you can reposition the greesproof as many times as you like and stop and start as many times as you need to just as long as you keep the stamped tissue paper smooth against the candle at all times.
The most important thing is to use a candle that you are never going to light as the tissue paper around the candle could catch light, not a good thing! lol