When you light a candle, the heat of the flame melts the wax near the wick. This liquid wax is then drawn up the wick by capillary action. The heat of the flame vaporizes the liquid wax (turns it into a hot gas), and starts to break down the hydrocarbons into molecules of hydrogen and carbon.
The melting of the solid wax to form liquid wax and the evaporation of liquid wax to form wax vapour are physical changes. The burning of the wax vapour is a chemical change. The wax vapour reacts with oxygen in the air to form new substances including carbon dioxide and ash.