I've done this type of play before and you should not use any candles with oils in them. The oils are what tends to burn and can leave some nasty marks.
I also make candles. I use 30/70 ratio soy/paraffin mix. Which makes a great moistureizer. I can color them to any color you want as well. But I will NOT put scents in them. The scents are oil based.
I'm shocked PPE did not mention that I made his candles for wax play.