The Good Housekeeping Institute has great advice on how to remove candle was from fabric, upholstery and carpet.  http://www.goodhousekeeping.com/home/stain-buster/stains-candle-wax-may07

Bit a Bliss Cleaning has great advice on how to remove it from walls and baseboards.

First make sure that you have removed as much excess wax as possible by scraping it off or putting a washcloth or paper towel over the candle wax and applying heat.  If it is colored wax it is likely that you will still have a stain on the wall or baseboard.  A magic eraser, slightly wet and rubbed gently over the wax will take the wax right off the wall or baseboard.

*Of course, always test a small area first and it is important to note that if you have satin or semi-gloss paint the magic eraser may create a dull spot in the paint that will have to be re-touched.  If you have flat paint it should take it off with no problems.