I've used ordinary string, plaited into a thicker wick if necessary. Don't use too thin a wick, otherwise you'll just get a very small flame.
I melt the wax in a (washed!) tin can sat in a pan of boiling water, then pour it into a suitable sized plastic container with the wick fixed to the bottom of the container (e.g. poked through a very small hole - if the hole is small, you'll only get a small amount of wax leaking before it sets) and held vertical by fixing it to a pencil laid across the top of the container. For chunky candles, you may need to do a second pouring, as the wax contracts on cooling, so you get a dip in the centre.
Geoff