Science - in the guise of my kid's 3rd grade science fair project - has established that this may have worked in the past but that current crayons from the biggest manufacturers have been formulated to burn poorly if at all. (After the experiments we confirmed this with manufacturers.) Here are two candles made for that experiment - regular candle wax on the left, crayon wax on the right:

http://imgur.com/IHqbkFi

You can download it and others from Radiohead's site if you're curious.

http://www.greenplastic.com/multimedia/

Thanks to a science fair project this spring I can attest that Crayola uses a paraffin base BUT adds other materials that affect the melting and burning qualities of their crayons. I don't know if those are the primary effects or if the additives are included for other purposes.