As you already mentioned in the question, air is a bad conductor of heat. It doesnot mean that it will not conduct heat.
So when we place our hand near a candle,it becomes warmer due to a small amout of heat conducted by the air.
The actual amount of heat that is produced by the candle is very large
this all heat is not conducting from the candle tip to our hand.
Only a small amount is conducted because air is a poor conductor and that heat causes to warm our hand or body
hope you understand the explanation