Don't forget that the liquid wax flowing through the wick also forms a protective barrier between the flame and the wick, thereby keeping the wick from burning too fast. If you took a wick that had not been dipped in wax and made into a candle and lit it, it would burn very quickly.

Come to think of it, the candle is one of those primitive technologies that an engineer today could never invent. They'd forget the point of a candle and get caught up in trying to design a fireproof wick.