Hi CD, I used to make candles few years back, I used to use a large white slab of wax (I'll ask my dad what kind later and let you know). You can buy colours too, any arts & craft/hobby shop should sell them, they look like really thick crayons and you can slice off a chunk to use.
When I wanted to have scented candles I just added essential oils that i would use in a frangrance burner.. and I used to always keep the wax of old candles to use again, meant the colours would be interesting when melted down and other dyes were added.