A cottom mop head will supply you with many years of "wicks" for an oil or grease lamp. They are pretty inexpensive, and can even be used to mop the floor.
The simple oil lamp is also called a grease lamp or slut lamp. Most any animal fat or vegetable oil will work in them. But do not use the Petroleum base oils - they vaporize way too easily and can flair up and explode on you.
All you really need is a fire-proof shallow bowl, and within it a slanted side to lay your wick up along. The oil and/or grease will "wick" up to the burning end - where it vaporizes with the heat and burns with a visible flame.
If you are using animal fat/grease, keep your container small. The heat from the flame needs to heat the container up a little bit to keep the fat/grease liquid - so that it can flow up your wick. The vegetable oils are already liquid, but do flow better when warm.
Just be careful not to tip your lamp. You don't have to worry much about spreading the fire, but you do end up with warm grease/oil all over everything!
Have fun with your "learning experience" with oil/grease lamps. The history goes all the way back through the ages.
Mikey - just some humble thoughts to share, take them as such.