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.
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.