Roll the sheet of beeswax around the wick, and roll until you have no more beeswax. simple!
I only use beeswax candles, as paraffin irritates my airways. No wonder, since it's a petrochemical. Other waxes don't seem to cut it either. Beeswax also gives off negative ions when burned, which are good for us.
Also a good activity for when your little sister is asleep :)