It is very difficult to set light to a lump of solid or even liquid wax because the surface area is very low so it can't react with oxygen very fast however it just takes a match to light a candle.
A candle works by melting the wax which is then drawn up the string like wick by capillary action. The wick is heated by the flame and has a large surface area so the wax vapourises. Now the wax has a huge surface area because it is a gas and it has enough energy to start reacting with the oxgyen in the air to burn.