A New York Times reader asks: "Where does a candle go when it burns, anyway? Is it healthy to be breathing in melted candle particles? How concerned should I be?" Randall Munroe of XKCD fame breaks down the science in his illustrated "Good Question" column. From the New York Times:
Wax is made of hydrogen and carbon. When a candle burns, the hydrogen and carbon from the wax combine with the oxygen in the air to become carbon dioxide and water vapor. Most of the matter in the candle ends up as these two gases[…]
As a candle burns, the CO₂ and water vapor it produces will cool and mix into the air in the room, becoming indistinguishable from any other molecule of CO₂ or water. Over the next few hours, as the air in your room is exchanged with the air outdoors, the molecules from your candle will escape the room and begin to disperse into the atmosphere. After about a year, atoms from your candle will have spread completely around the globe.
"Where Does a Candle Go When It Burns?" (New York Times)