First, clean the shells in a weak solution of bleach and water, and let dry -- deep shells like scallops, clams, and quahogs work best and burn longest. Melt paraffin wax or existing candles in the top of a double boiler (use one with a lip, if possible; it will be easier to pour from). We mixed the melted wax of pink, mauve, and yellow candles to create coral tones that complement our shells.
If a shell has a tendency to wobble, stabilize it by resting it on top of a cup. Cut the wicking to 2 to 3 inches, and attach it to a metal wick holder; set aside.
Pour the melted wax into the shell, then place the wick and holder in the bottom of the shell, being careful not to burn your fingers. If wick droops, trim slightly. Let cool until hardened, about 30 minutes.
And be careful: The top layer of the wax hardens first, but the melted wax underneath will spill out if the candle is moved before it has had a chance to cool completely.