Candles have a few good uses:
1. They make it easier to light fires if you have bad tinder or few matches.

2. They can be used to create a small amount of heat in a shelter. (When used with a space blanket properly it can keep you pretty warm.)

3. Wax can be used to seal holes in water containers and such.

4. It can work as a light source without having to worry about batteries or if it was soaked as long as you have some way to light it.

5. Twine or string you made can be rubbed/coated in wax to help hold it together.

A candle has a lot of uses, even the psycological effect of having some form of fire on a cold wet night after being lost can be great.