Candle making starts out similar to melt and pour soap making.
Start with wax specifically for candle making (readily found in craft stores). There is everything from beeswax to soy wax. Different types of wax have different considerations. You'll start by estimating how much wax you will need for your mold then melting it. Wax needs to be melted over a double broiler. You'll want to use pots designated for candle making (not pots you plan on using for cooking again). Liquid wax acts the same way as oil. So treat it the same way you would if you were cooking with oil. Monitor the temperature, never letting it get above 250 degree F. If you do have a wax fire, treat it like a grease fire. Never leave melting wax unattended.
Unlike soap, scent and color are normally added while the wax is melting. You can buy dyes for candles that come in liquid, powder and solid forms. My mother used to use crayons for candle dye. Peeling off the paper, breaking the crayon into small pieces and adding it to the wax until she got the desired color. My mother used paraffin wax for her candles (which is also the base for crayons) so I'm not sure how crayons would react with other types of wax. Also the end color would probably not be as strong as if you used an actual candle dye.
When the wax is completely melted, pour into mold. Follow the instructions for the specific type of mold you have, it will vary. Plastic molds won't be the same as metal ones. Pillar candles will have different methods than say votive candles.
There are many techniques for making your candle decorative. Try adding crushed ice to a mold before pouring in the wax. The ice will melt leaving interesting crooks and crannies. Hint: dont crush ice too fine or you'll have more holes than candle. When adding embeded items into your candles there are special considerations, safety issues so you avoid igniting the embeded item. Things like the melting point of the wax your using and the diameter size of your wick.
If your using something not designed as a candle mold or a candle holder, remember your dealing with a material similar to hot oil. When selecting a container to use as a candle holder, some should be avoided all together (plastic, clay and non heat resistant) and even ones you might consider safe may not be. Any container made out of glass or ceramic can crack, even those that are considered heat resistant. So all candles should be burned on a heat resistant surface, well away from any flammable objects and most important never burn candles unattended. Also, never substitute string for wick it's unsafe plus it will make your burning candle smokey and messy.
Here are a few sites to look at for basic and advanced candle making techniques.
Basic Instructions And Techniques
More Candle Making Techniques
Candle Making: