Ok, I have about as much candle-making experience as I do of ballet, so forgive me for asking a "is the monitor turned on?" question: You have looked in Hobby Lobby & JoAnn's for candle wax, correct?
I want to remember that there was a place that had DIY bath stuff, which, again if memory serves, sometimes can be used with candle-making? Not sure if any such shop survived the Great Recession, though.
Hope you find some, candle-making is some cool art.