I cannot take credit for this tutorial so I have linked back to it's creator Jenni Mouer , but it is truly amazing so I thought I would share it with you, its so comprehensive I think I will give it a try.
by Jenni Mouer
Candle - preferably white or cream
White Tissue Paper
Markers or some other type of coloring medium
Step By Step
Stamp on tissue paper. Use images that can be colored-in or solid images, in the ink color of your choice.
Tip: Stamp extra images on the tissue in case of a mistake.
Color in stamped images using some form of coloring medium, but be careful and test the medium used. With Twinkling H2O™s™ (as in this example), you will want to make sure your Aquabrush™ is not very wet but has a fair amount of watercolor on it. If you would prefer not to color just use a solid stamp with your choice of ink.
Cut out your stamped images fairly close to the edges.
Take a piece of wax paper and cut it so that it is not any taller than the candle being used and long enough so that it wraps completely around the candle and then some.
Take your first stamped image and place it on the candle. Then place the wax paper on top and wrap the wax paper around the candle. Wing out the extra wax paper and pinch close with your fingers making sure the wax paper is tight against the candle.
Heat up your embossing gun for 30-40 seconds until it is nice and hot. Moving quickly, wave it over the area where the stamped image is; be sure to keep the wax paper nice and tight. Every candle will have a different wax melting point, but you should see a change begin to take place within a few seconds. As the candle heats up, the pressure from the wax paper should push the image into the melting wax of the candle, embedding the image and leaving your image intact.
Slowly peel the wax paper off the candle. Remember: every brand is different so if you are switching between brands you may need to adjust your heating times a bit.
Finish your candle.
You can do numerous images on one candle; just place another image and move the wax paper. It is best to try and not use the same spot on the wax paper for each image, but you can use 1 piece of wax paper numerous times.
Update: Jackie from Docrafts has used greaseproof paper instead of the wax paper and she says that it works just fine she has just finished a large batch of these candles for her wedding.