Candles need wicks to maintain their flame, so here we have three improvised wicks you could make.
Cotton string: You may have this to wrap presents, do crafts or tie up a roast. But they make great little wicks.
Cotton strips: Find an old t shirt or similar piece of material that you know is 100% cotton and simply cut a strip to use as a candle wick.
Soft tissue paper: In a pinch you can use toilet paper, paper tissues or even kitchen roll. Their absorbent qualities mean they are good wicks. Simply twist the paper to make a wick.
If you want your wick to stand up then use a metal paper clip. Bend the clip so it has a steady base and a point that sticks out. Skewer your wick over the part that sticks out and your wick will stay up.