If you have wax buildup in your ear, there is a variety of effective methods to help remove it, but ear candling is not one of them. Also called ear coning, this practice involves inserting a hollow cone of paper into your ear. Someone else lights the other, wider end of the cone, in the hopes that as the flame burns, a vacuum will be created that draws the wax from the ear. When the flame goes out, there may be a dark residue on the remaining paper, but it is not removed ear wax - it's a mixture of combustion products from the burned paper.
Instead of engaging in a practice that doesn’t work and carries the risk of fire, if you need to remove excess ear wax, I suggest that you consider one of the many over-the-counter products available for this - they're usually very effective. If you've got a build-up of wax that is interfering with your hearing, a physician can flush it out with water directed into the ear with a specially designed syringe after using drops to soften the wax.
Don't clean your ears with cotton swabs or put anything else in your ear. It's possible to push wax deeper into the ear canal and even injure your eardrum.