By capillary attraction, the wick leads melted wax up to where it can be vaporized and mix with oxygen in the air.
A block of solid wax, or even a puddle of melted wax, won’t burn because the wax molecules can’t come in contact with enough oxygen molecules; only as vapors can they mix intimately, molecule for molecule, and react.
Combustion (burning) is a reaction that releases heat energy.
Once it begins, it gives off more than enough heat to keep melting and vaporizing more wax to keep the process going.
