When you burn a candle where does the wax go?
As the wax starts to melt and puddle around the candle's cotton wick, it actually travels upward. The wick soaks it up, and it eventually evaporates into the air as either carbon dioxide or water vapor after it burns.
When you light a candle, the heat of the flame melts the wax near the wick. This liquid wax is then drawn up the wick by capillary action. The heat of the flame vaporizes the liquid wax (turns it into a hot gas), and starts to break down the hydrocarbons into molecules of hydrogen and carbon.
As the candle continues to burn, it is drawn up the wick towards the flame. The melted wax then begins to evaporate as it turns into a gas. Its molecules are oxidized, releasing water and carbon dioxide into the surrounding atmosphere. This reaction also produces light and heat.
The process of burning (as opposed to evaporating) is a chemical reaction, a chemical change. The wax molecules are undergoing a chemical change; they are changing into different molecules by reacting with a substance in the air.
The National Candle Association (www.candles.org) states that the reason to not burn the wax (in a container or just a candle itself) all the way down is SAFETY. A glass jar or container can become too hot, causing it to break or shatter and possibly causing a fire as well as other damage.
When a candle burns, wax in the candle melts and is then vaporised as it is drawn up the wick. Melting and vaporisation are physical changes. The wax vapours then burn at the wick to leave behind soot and water vapour, while emitting heat and light. The burning of wax vapours is a chemical change.
Fire is a chemical reaction that creates light and heat from oxygen and fuel. A lit candle needs to draw oxygen from the air in order to continue burning. If you limit the amount of air available, the candle's flame eventually goes out once it uses up all the oxygen.
The combustible material in a candle—or its fuel—is the wax. But before the wax can become fuel it first needs to get hot enough. To start that heating process, you first need to light the wick with another source of fire, such as a match. As the wick burns down the heat of the flame melts the wax around the wick.
Today, most candles are made from paraffin wax, a byproduct of petroleum refining. Candles can also be made from microcrystalline wax, beeswax (a byproduct of honey collection), gel (a mixture of polymer and mineral oil), or some plant waxes (generally palm, carnauba, bayberry, or soybean wax).
Candles don't have a hard expiration date like foods do, but they certainly degrade over time. Eventually, they might become difficult to light or not burn properly. There are two main factors that determine the lifetime of a candle: what kind of wax is used and how the candle is stored.
What is wax made of?
All waxes are primarily hydrocarbons, whether the wax is of animal, vegetable, or petroleum origin. The chemical composition of all waxes used for candle-making is similar, and all candle waxes burn in the same manner. An estimated 1 billion pounds of wax are used in the candles sold each year in the United States.
You're Unlikely to Inhale Wax
When a candle is burning steadily with a teardrop-shaped flame, combustion is extremely efficient. All that is released into the air is carbon dioxide and water.

Candles are bad for the environment if they are made of petroleum-based paraffin wax, artificial fragrances filled with chemicals, or pesticide-laden cotton wicks. If you choose to use candles, opt for ones made of non-GMO soy or ethical beeswax and only scented with essential oils.
Unlike candles, the wax does not evaporate; only the scent dissipates. Once you can no longer smell the fragrance, you can throw away your used wax and start a new scent.
After a candle burns for around four hours, carbon build-up begins, creating an unstable flame. This can lead to wax tunneling, soot damage, and damaging the candle container. Beyond that, leaving a candle burning overnight raises the risk of other incidents, such as the candle being knocked over.