These are made of polymer clay that has been baked and painted. Personally I don't let my candles burn all the way down just in case, but I suppose if you're leery of the paint you could of course just use colored clay to begin with. Use em at your own risk.
For candle tips go to The National Candle Association's Fire Safety Tips
Step 1: In The Begining, hehe
Step 2: Cut and Roll
Roll out pieces to somewhere in between 1/4 and 1/2 inch.
Step 3: Squish and Twist
Step 4: Shape and Bake
Follow clay package directions and bake til done.