A buddy of mine- my favorite homeopathic, environmentalist liberal friend, does these frequently. He has even tweaked the product as follows:
He takes a paper plate and cuts a hole the exact size of the ear candle in the plate. He then places the candle through the plate and into his ear. As the candle burns, "wicking" the excess earwax up and out of his ear, the candle wax drips down onto the paper plate instead of the side of his head. When finished, he simply discards the entire rig. He has clean ears and no wax burns on the side of his head.
I am not making this up. My buddy also goes for "High Colonics" several times a year to, uh, purify his Colon.
Now before you laugh too hard, this guy is one of the most intelligent guys I know, and swears by these methodologies. He has yet to convince me to join him for a candle session however. And the "High Colonic"...well, to each his own.