Draw the black wick, with the burning red end and reserving the white tip against the orange flame. The hot candle wax is shiny, so highlights will be crisp-edged and bright - use a very sharp white or light yellow pencil for these.
I've used layers of brown and black pencil to darken the lower part of the candle, with red and orange layers creating the translucent glow in the top section of the candle. Most areas of this drawing are almost 'burnished', with heavily layered colored pencil giving an intense amount of colour. However, the Derwent Artist pencils that I used are rather hard and chalky, so the background isn't as dark as I would like. A good dense black makes the contrast of the white flame much more effective.