The wick is used to transmit the fuel from the fuel tank to the flame. Because of the capillary action, the liquid fuels the wick. This inhibits the wick from totally burning to allow the flame to burn above the surface of the wick. The heat produced singes the top part of the wick. Most users trim the wick regularly to prevent it from smoking. A regularly maintained wick also produces the cleanest and smokeless flame.
There are different types of wicks. It is dependent on the type of lamp and the amount of space available for the wick.
Usually, a round wick gives a clean burn compared to a flat wick.