What is an Oil Candle? oil candle The modern oil candle generally consists of a glass fuel container, with a hole at the top, with a wick holder that sits atop of the hole, through which the wick passes, into the glass container. When the container is filled with oil, the wick and wick holder structure is replaced in the hole so the wick is in the fuel. They come in many different shapes, sizes and colours. Some have the wick protected by a glass shade, while others leave the flame exposed.