They worked quite well when I tried them last night. We left some of the cotton exposed without any wax on it so there is something to take the spark.
Just use an old pot or soup can or something to melt some old candles, and grab the cotton balls with tweezers or chopsticks, and dip them 3/4 of the way into the wax, then set them aside on some foil or something to harden. Much less messy than petroleum jelly and they burn for a long time.
You’re safer heating the wax in a double boiler. Otherwise the wax can overheat and flair up, burning flesh or starting fires. Put your can/whatever of candle wax inside a pot with some water in it. That gives you a controlled, non flair melt.
