I've looked around on ebay, etc. and mini candles are expensive! It bothers me to pay for anything if it's possible that I can figure out a way to make it myself so I thought I'd give it a try.
You'll need:
thick thread (I used waxed jewelry thread that came from Wal-Mart)
different sized straws - soda straws, milkshake straws, coffee stirrer straws, etc.
a candle - tapers are the easiest to use
I took the straws and cut them into different lengths - pillar candles, taper candles, just whatever size I thought would look good. I used tape sticky side up to hold the straw pieces in place. Then I took a lit candle and let the wax drip into each of the straw pieces. Once the straws were filled I took a piece of the waxed thread and stuck it into the middle of the wax as it began to cool.
Once the wax is completely hardened then you can use something small to push the candle up out of the straw. Here's a pic to show you some of the finished candles. I bought a bunch of different colored tapers from the Dollar Tree (50 cents each) so I can make a little stockpile of candles for future use. One helpful hint is to let the straw cool down completely between candles or you'll melt the straw by accident!