There are some things to bear in mind when it comes to the safety of wax play. Firstly, make sure you're using the right kind of candles; the best is cheap, plain white, unscented paraffin wax, as that has the right kind of melting point.
You can also control the heat by paying attention to how you hold the candle and from what sort of height the wax is dripping. Experiment with different positions and different bodily locations to figure out what you enjoy the most and remember, never leave a lit candle unattended.