Know it's a bit out of date but thought I'd add my piece. Don't know if you're aware but you can get two kinds of kit - a cheats kit and a 'real' kit.
The easy kit contains ready-made wax containing dye and wicks. The wax has to be heated up, supposedly in your hands (although I cheat and sit it on top of the radiator). The wax then becomes pliable enough for you to mould it into different shapes around the pre-dipped wick, like play-doh! You leave it to cool and become hard and hey presto. I used this a few times with the Cubs as it's much less red-tape to wade through than making real candles with hot wax.
The other kind is the traditional, messy kind with melting wax, moulds, having to dip the wicks, supports, oils for fragrance and colours. I prefer this as you can make things more your own. I'm a fan of making layered candles with different colours, if you're really patient you can even make ones where the waxes swirl into each other and make pretty patterns. This is easier to do in glasses, I buy the cheap clear ones from Ikea to great effect. Be prepared for a mess until you get the hang of it, and it's a total pain in the backside to clean afterwards. I have a Â£3 smartprice pot especially for candle-making.
As sanguine_emma said, you're better starting with a kit. If you get a good one you can get the perfumes, colours, wax, a few moulds, supports and wicks to start you off. If you have any plaster of paris moulds (the kind you get in children's kits) that you don't mind risking you can try them, it's worked well for me but no guarantees! I found wax colours in stick form better than liquid colouring as they last for AGES and you only need the teenyest bit. I still have a bit left from my yellow stick in my original kit from 5 years ago. If you have a good kit you really only need to replace the wick and wax every so often.
Jeez,that turned into a bit of an essay.
Sorry guys, I love my crafty stuff.