The Romans mostly used oil lamps rather than candles, the use of candles as a popular light source developed among early medieval Christians who started to use them in their churches after the olive oil supplies dried up in the late/post Western Roman empire. These were too early to be tied to candle use (and strangely distributed geographically). Also the Romans had no kind of industrial standardization or production, every candle was hand made and unique, all the wax/tallow was valuable, so the later Romans who would have used candles would have used a candle holder designed to capture any lost fuel to reuse.