Burning a candle is not as simple as light and go, there are lots of tips available to help you get the most from you candle.
Ensure you get a cleaner burn, better fragrance and fully use the wax in the jar.
I would say the most important ones are keeping the wick trimmed to avoid smoke from the wick.
It is particularly important on the first burn to ensure the wax has the chance to pool completely to the edges to avoid a tunnelling of the wax down the centre for future burns. When lighting a candle for the first time allow plenty of time for it to "pool", for a large candle this can mean a few hours.
Twin wick candles do melt quicker and can give a better pooling.
Burn away from draughts which is why a shade or illumalid can help, although please note it is not recommended for twin wick candles.