Candles are far more effective for lighting than heating. However, with a heat-resistant container and a couple of flower pots, you can turn those candles into a space heater.
As the video above from boating site Keep Turning Left shows, you can use cheap tealight candles to heat a small room more effectively by placing four of them in a metal tray and placing two flower pots on top. The inner pot traps most of the heat from the candles and the outer pot then focuses all that heat upwards into the air.
Obviously, this won't do much to heat a large space (the room being heated in the video is roughly the size of a couple or large closets), but if you're living in a studio apartment or a small dorm, this might just do the trick. For safety, make sure you extinguish the candles before leaving the room.