This is something that I've done almost every Christmas since I was a very little girl, and it's a lovely thing to do this time of year! It makes a perfect present, and as I only use old candles instead of buying wax, it is both cheap and eco friendly. I collect all the stubs from used candles all through the year, and by the time I get to Christmas I've got quite a collection!You'll need some wick and possibly some wick sustainers, to keep the wick from floating up when you pour the wax in. And you'll also need some moulds, and for this you can use just about anything; tea cups, tins, ramekins, yogurt pots etc.
Put the stubs into tin cans (I use the ones you buy tinned tomatoes in) and the cans in a pan with a bit of water in it. Put it on medium heat on the stove. As the stubs start melting, use a fork to take out the little bits of wick that will start floating around. When it's all melted pour it into the moulds. Make sure that the wick doesn't float up when you pour the wax in, and use a little stick (matchsticks are good for this) to tie the wick around, to stop it from sinking into the candle.