A mason jar makes a great candle holder. They have lids to screw on and the wax will be fine.
Soy wax is one of the best waxes to use for survival because it produces no smoke or residue like paraffin wax that is made out of petroleum products.
Bees wax is also great for making candles but it is more expensive.
It is best to have unscented candles because if you are in an enclosed area or a small area, breathing in the wax with the smell may not make you feel very good. Other people may not like the sent and cooking with it might not make the flavor of the food taste good.
Another thing to remember is that there are many people out there who make and sell candles to preppers for this purpose. It will save you the hassles of doing it yourself and the mess that has to be cleaned up.