At Chameleon we have found the best way to color candles is to work on tissue paper first, then lay tissue paper over the candle wrap with baking parchment to hold in place and heat gently until the wax melts and incorporates the tissue paper into the candle.

The candle wax melts but the tissue paper doesn't go up in flames as it is covered in wax and is not near the flame (church candles work best)