Take a lighter (or matches) and hold it to the wick. Because the wick is still slightly damp, you'll need to hold the flame on it for a few seconds to dry it out and let it soak up the oil.
Once the wick stays lit by itself, place the other half on top and enjoy.
If you are having trouble with the wick (e.g. too short, burning too fast, etc.) you can combine this instructable with the following one: Make an oil burning candle
. You can use the wick and the oil to make a very re-used candle.
The bottom half of the candle will last a long time because the oil soaks into the skin and preserves it. If you add a wick, you can prolong the life of the candle for quite a long time.