Have you ever heard of candles that had wood wicks? Sometime ago I saw QVC selling them. The wood wick simulates a crackling noise like you are burning logs in your fireplaced. I have never used them before but I found these instructions from Lone Star Candle Supply on How to Make Wood Wick Candles. If you are interested in creating other types of candles check out Lone Star Candles Step by Step Guides section on their website.
Start by gathering all the items that you will need. The candle making process will go much more smoothly if everything is readily accessible.