The oil idea is fabulous... I wish I had heard of that a long time ago.
On a related topic, I was in a "toy" store not too long ago that specializes in BDSM paraphernalia and they had candles that were sold specifically for play. I asked about them and the person in the store explained that they were special "cool burning" candles--designed so you can drip on someone without the pain caused by the heat.
I didn't go into it with her at the time, but I can't imagine anyone wanting those? I mean, you can decrease the heat by increasing the distance... but a "cool" candle seems to defeat the purpose of the sensation! Maybe they'd be good for a first time.
(maybe the painslut in me is showing)