You'll need sand from the beach or a sandbox or even sand from the backyard. Did a hole in the sand and shape it using an actual candle glass holder. Make sure the sand is a little damp so it holds in place. Then tie your wick to a long enough stick to cross over the top of the hole. Make sure the wick is long enough. :P
Now for the wax. Melt your candle wax( I used purple wax)in a cup or bowl you don't care for(you wouldn't want to ruin something nice! lol.) Pour the wax in the hole until it fills to the top. You may need to keep adding on because the middle sinks in a little bit.
Here are the holes filled in. I topped the final layer off with an aqua wax. ;) Now you'll just have to wait until they dry. When it has been long enough, dig them out of the ground. Be careful! :)
This is the finished product! ;) Make sure you're aware that the sand candles might get messy! :) Enjoy :D