I'm slightly puzzled about the comment about real ones in jars. Real candles are sticks of wax or tallow or whatever with a core of stringy stuff known as a wick. They don't have containers until you put them ina candlestick or similar device. The ones in jars are that way purely for decorative purposes, and the jar merely fulfills the function of the old candle lantern in keepind draughts off the flame. In order to produce the light, the wax has to burn, but it does so as a vapour not as a solid. The flame you use to light the candle melts the top of the wax, and the hot liquid is drawn up the wick and vapourised and it burns just away from the wick. Eventually, the level of wax drops and some wick gets into the flame and burns away, which is how the height of the wick usually remains constant as the candle burns away. Leave the liquid in there - it's wax! Fairly soon it wil solidify again.
http://www.madsci.org/posts/archives/jan2001/980279496.Ch.r.html
It doesn't burn to liquid - heat causes the solid wax to turn liquid, and then causes some of the liquid to turn to vapour. So every time you light the candle, you will use up some of the wax. In fact, they used to use accurately made candles for time measurement - there were marks on the candle to show how much time had passed. The candles used by most poorer people weren't wax - that was too dear. They had ones made of tallow (animal fat) which tended to smoke and sputter, especially if it wasn't well purified. They were made by dipping the wicks into molten fat (or wax for the dearer ones), and letting them dry, then dipping them again quickly and so on. Tapers were only dipped once. By the way, if any wax runs off the candle and onto a surface, you can put bits of it back on top of the candle - but preferably not while it is lit! Modern candles are a sort of paraffin wax - earlier wax ones were beeswax. Don't try making tallow ones from string with lard or dripping - you'll set the place on fire or at least set off the smoke detectors.
