The lamp itself must be of a material that won't burn, rock, clay or metal. The wick was traditionally of certain mosses, but cotton replaced moss long ago. The wick lifts the oil from the lamp by capillary action and provides a surface for burning to take place. Container Traditionally the lamp was of a hollowed stone. More recently, jar lids and metal cans were used.
Experiment Make several lamps with different containers.
Use jar lids, stone, metal, aluminum foil, anything you can find that won't burn. Use Crisco for oil and a wick of cotton cloth for now. It takes a bit of skill to keep the wick properly trimmed. Don't leave the lamp unattended. Experiment with Wicks Try different materials for wicks.