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.