If your candle is tunneling on the first burn, it could be caused by a number of small defects, from poor-quality wax to too short a wick. Tunneling is caused by the flames not burning hot enough to heat up the whole surface of the candle, so leaving your wicks longer and making sure to invest in good-quality candles can help prevent this. Otherwise, wrap some aluminum foil around the top of the jar to help heat the candle evenly and fix the tunneling issue.