What you need: 

nice drinking glasses, 

wax (old or new candles), 

wicks (e.g. removed from old candles), 

tin cans

If you melt cheap candles, you can use the wick for the new candles. 

Either you cut the wick out of the candle before you melt the wax or you melt the wax and fish the wick out of the wax. 

Put the wick onto a piece of baking parchment until it is dry. 

This way, the wick hardens and you can put it easily into the glass.
If you use a shot glass as container, you can also use the wick of a tealight.

You can use glasses in any shape for creating container candles.
Put the wax into the tin can. Heat some water in a pot. 

Put the tin can into the pot to melt the wax.

Put the wick into the glass. Mind the correct burning direction of the wick. 

Then pour the wax into the glass.

You can also create candles with layers of different colours. 

Pour the first colour into the glass and wait until it has started to dry. 

Then pour a different colour on top.

When the glasses are filled with wax, let the wax cool down. 

That's it!

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