4candles.co.uk is the source of all my bits and pieces - wick, sustainers. safety warning labels, dyes etc but there is a huge range available on ebay too
Container candles are easiest to start with, as long as you use the right size of wick to match the container
Or sheets of rolled beeswax with a 'primed' wick added - super quick and easy
Loads of advice on the 4 candles site and google.
Did you see the Tudor Farm programme the other night ?
They were making rush lights using just the rushes and melted sheep fat
I have LOADS of rushes and a bit of spare lard in the freezer .... with some added soap/candle fragrance it might just work
HTH