For each candle, use a cookie cutter to make 10 identical shapes from the wax sheets. Divide the shapes into two stacks of 5.
Sandwich a wick between the two stacks, starting at the bottom and extending it beyond the top by at least an inch. Press the sheets together gently. If they don't stick together, take the wax layers apart and use a hair dryer to gently warm each one before restacking them, adding the wick as instructed above.
Trim the wick to about a half-inch. Stand your candle up, shaping the base as needed to make it sit securely.