Why don't you just heat some stones with the candle? Maybe an inverted bowl, so the heat doesn't go away while you are heating the thing.
The
rocket stove is about burning the lignine present in
wood, and you need very high temperatures for that. I'm uncertain about whether the wax or the oil needs so a high temperature to burn efficiently, but it could be. The problem with the candle usually is receiving
enough air intake, that's what an oil lamp solves.
Now there are two interesting questions.
1.- Is it worth to increase temperature for a candle? Does it have any effect?
2.- How do you maximize a candle for heating. We know how to maximize it for light, cutting the wick, using a glass lamp. Heat needs a cleaner flame, and probably it needs to control the exact flow of fresh air.