I know what you mean about the wax. The thing you might want to consider is to not buy store bought candles. Here's a little heads up:

Paraffin Wax in it's raw state melts at about 120 degrees. Dripped at a hight of 18 inches you get a pleasant heat shock at point of impact, but the actual temp by then is about 104 degrees (hot tub temp). If it has more oil content then the melting temp is lowered quite a bit.

When you start adding stuff to it the melting point gets higher and higher. Stearine is used to increase the strength and melting point. Tapers and pillar candles use this kind of wax so they don't sag or melt in the heat of the heater in winter. Use care with these to increase the distance between drip and victim to allow the wax to cool. Might want to consider 36 inches or more.

Fragrances do not do too much to raise the temp. 18-20 inches is usually safe.

Color dyes can raise the temp of the wax either a little bit if it's a pale tint or raise it to fragging hot if it's a bold color. Again raise the hight to find out the safe temp

Other additives make the candle "glow" if a translucent additive is applied, other additives can give a frosted effect. Both of these can raise the melt point quite a bit.

Soy Wax. Good choice for play since the melt point is 115-119 degrees (cooler than paraffin) and you can microwave it and not have to worry about open flames. Just make sure you have a thermometer to make sure you're below 120 degrees.

Best choices for play:
Soy Wax - can buy in any craft store with candle making supplies. Microwaveable so no flame is needed.

Paraffin Wax for Hot Wax Therapy devices - This stuff is made to melt at a temp so low that you can dip your whole hand (foot, elbow, etc) in safely. Melt in a double boiler and let cool to safe temp.

Raw Paraffin Wax - With care can be stimulating and fun, but not painful.

Not so good choices (but workable depending on care and/or sub's tolerance)
Container Candles - depends on the additives, might be safe, might be too hot.

Votives - Again not a free standing candle so shape holding is not an issue so tends to have lower melt point. However color additives can change the temp.

AVOID (or at least use with EXTREME care):
Taper and free standing Pillar Candles - made to melt higher to keep shape

Beeswax - It's hard to get a beeswax candle to melt properly (wick tends to burn straight through the candle). Melting temp WAY too high.

Your best bet is to go with something you can make yourself since you can judge the temp and maintain control over the quality of what you want to drip.

Skruddge