Start with making wicking from salted paper
The salt keeps the paper from burning too fast. Also the salted paper wicking is stiff so it doesn't need wire to stand up. This property is useful for the candles and oil lamps described in the following steps. Actually any kind of wicking, like wick cut from a cotton towel will burn best if it is salted which retards charring.
Just something useful to know if you are making any other types of instructables oil lamps
. Presently the other lamps featured on instructables.com don't work well because they don't salt their wicks.
1. Wet some cheap copy paper with some very salty water or pour salt over the wet paper in a tray.
2. Fold and cut the paper into strips then twist or roll the paper.
3. Dry in an oven at 200F for 20 minutes or air dry overnight.
Here is picture of a tray of paper wicks made from one sheet of cheap copy paper.