The fuel to make a candle burn is the paraffin wax itself. Paraffin actually comes from crude oil and can combust and burn by itself, if heated, to about 380 degrees. For this reason, when making candles you should always use a double boiler and a candle or candy thermometer. Paraffin burns very hot; however, when it comes to candles, paraffin is very safe because only the little bit of liquid wax in the wick gets hot enough to burn.
Candle wicks are made of a soft absorbent twine. The absorbency is important, because the wick needs to pull liquid wax up to be heated by the flame. You will notice that the wick will burn down until there is a pool of liquid wax around it. At this point it starts to absorb the liquid wax and the process ends up cooling the wick. It won't completely burn up until it needs to move down to reach more liquid wax.
The starting point to burn a candle is to light the wick. The flame then melts the wax on the wick and a small pool around the wick. Then the wick absorbs the liquid wax and pulls it up to the flame. It is heated even more by the flame and turns into a vapor. It is actually the vapor that burns. As the vapor burns, the flame needs more fuel and the wick continuously pulls up more liquid wax for the flame to heat. As the cycle continues and more wax is vaporized, the size of the candle shrinks until there is not enough fuel left to keep the candle burning.
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