The amount of pain depends on the quality of the candles and the height the wax is dropped from. The sensation could be a nice lukewarm, or a searing hot. Smaller candles and wax falling from higher up tend to be less hot. The wax pools a bit, and is then spilled with care onto the willing victim.
Sex shops often sell candles that have a lower melting point for less risk of burning. The idea is to get a nice redness with a little puff in the skin, but not to injure anyone. As wax pools and cools, a layer will be formed over the skin. A whip or a switch might be just perfect to snap that apart. For any bears among us, though, it might be wise to put a layer of plastic between your body hair and that wax, unless you are into a really, really, really painful finish!
For more hot ways to spice it up, check out: Blindfolds, BDSM, Bondage