This'd make a nice home-made present for grandparents or something like that, but kids should not attempt this without an adult's help.
You'll need the following:
A glass bottle, any size or type
A load of candle wax from new, used or dead candles
A candle wick (or 100% cotton string)
A small weight such as a fishing weight or washer
and you'll also need:
Cooker hob to melt candle wax
A container to melt candles in, I'm using a fizzy drink can with the top chopped off
Gloves or something to handle the hot container with
A hammer or something to break glass with.
Step 1: Preparation
Cut a length of wick that is longer than your bottle's length, you can shorten it after.
Tie a weight to the bottom of the wick, this will help it stay straight.
Have everything close to hand and you'll need to work fast to make sure the wax doesn't harden.
Step 2: Melting the wax
I've collected candle leftovers for a while and hopefully have enough to fill up my bottle.
After putting all the wax into your container, put it on a gentle heat and let everything melt.
I put my can directly on the hob, but you can put your container in a saucepan of water, that way the wax will be less likely to burn as you heat the water
Wax can ignite if it gets too hot, so don't leave it unattended, melt it slowly and once it's melted, move on to the next step straight away.