This Instructable is so easy that it's almost unnecessary, so I'll keep it as short as possible.
A jar (any size)
A candle (votive or tea light)
A piece of card stock or computer paper
Step 1: Choose and prep your paper
Card stock looks more legit (non-homemade,) but computer paper will appear brighter
Choose whichever you'd like and then roll your paper so the ends are only slightly overlapping and then tape it.
Step 4: The end.
Whenever you want to light the candle, remove the sleeve, light the candle, and put the sleeve back over the jar. Make sure the paper is far enough away from the candle so it won't catch fire. You can paint or colour your paper before rolling it. Try coloured papers, too, but not construction paper.
The reason I chose such a tiny jar for such a large candle is that the candle is soy and will melt into the jar very quickly. The jar provides extra fire protection.
If you spill wax onto cloth, immediately rinse it (inside-out or on the reverse side of the spill) with hot water. The wax will melt out. DO NOT LET THE WAX HARDEN!
If you cause a fire with this, I'm not liable. Don't leave fire unattended EVER. I personally have never had an issue with any of the lanterns I have ever made, but if something blows or knocks over the sleeve (which is very possible) it MAY CATCH FIRE. Don't use outside. Don't use in a room with a fan blowing in the direction of the lantern. Don't put it on the floor or within reach if you have children, pets, dumb roommates, ghosts, or frequent earthquakes. If you still cause a fire, please contact your nearest elementary school teacher and seek further education.