The first candle you could make is simply from old and small candles. You may have a candle holder with a candle that's mostly burnt down or have a stash of tea candles, even birthday candles. Well on their own they may not be much use, but if we add them together we can make a new candle.
Simply take a piece of Aluminium foil and press it over the top of an object to make a bowl. I'm using the top of a vinegar bottle. Then scrape or break your bits of candle into your Aluminium bowl. When you've added enough use a lighter to melt the wax by holding the flame under the Aluminium bowl. When it becomes a liquid pool it's time to add your wick. You could use one you make or one you've salvaged from a candle.
The shape of the Aluminium means it won't easily fall over, it also acts as a barrier between the heat and flammable surfaces. If you've only made a small candle it will also float on water.
Probably the simplest of the things you could do is use shoe polish. No wick necessary. Simply light and you'll have instant light and heat. It also comes in it's own holder. The only down side to this is the uncontrolled flame and smell it gives off. You can even use the lid to put the flame out again.