Keep scissors around to trim the wicks when they start to smoke. If your players have a tendency to ignore the game and play with the candles, then either put the candles out of reach or don't use them. Put candles in stable places where they won't fall over and won't catch any nearby drapes or books on fire. Preferably use wide candles, not tapers, as they're less likely to fall over - nothing breaks a good game up like a raging fire. Finally, just because it's a good idea, make sure there's a fire extinguisher around, and keep one lamp lit somewhere nearby so no one falls over anything if the candles go out.
Curiosities Use dark-colored candles.
If you make your own or buy ones with flat sides, you can carve and paint the outlines of strange symbols into them. Simple line art and unusual borders are often best. Hang the room with dark or exotic cloths, odd posters, or unusual pictures, photos, and tapestries. Keep a few odd, unique, beautiful props around. Find interesting things in antique and second-hand stores.