Be careful and safe with this one, OK? These should not be left unattended.
Step 1: Find your candle's center of gravity
I'm doing this test on a new candle, but I'd recommend letting the candle burn until the flame "settles" inside the candle before doing this. The candle will be burning a little slower here and give you a bit more burn time in the end.
Step 2: Drill it!
Step 3: Thread the wire through
Step 4: Hang it and light it!
Here you can see the reflection off of the wires. Even with this so visible the effect is quite nice.
Keep an eye on the candles and be sure to blow them out before the flame gets too close to the wires and they pull through the soft wax. That's a mess that nobody wants to clean up.
Oh, and again, be careful if you try this. In fact, I recommend that you don't. However, if you're feeling brave and stupid, then go for it.