I thought that glass lampshades turned upside down would make great stands for the candles. They do.
But I didn't realize how much oxygen candles need to burn. They need a lot more than they can find inside a light bulb. I would have to have either only filled them up partly with wax (and I am not sure that would have worked) or filled the bulb to the absolute top with wax and throw it away after it burned down to below the bulb's threads.
So I turned the shades over and set them in old ashtrays and put a candle inside. So much for creativity.
I actually have the nerve to share this at parties. Mostly because I really have to laugh at this failure. If you want ideas that work - check out the wonderful linky parties I link with.