Ceramic Wick Holders
Turn that class bottle of wine in to an oil lamp. Simpler than you thing. All you need is a ceramic wick holder. You can get these at your local pottery shop or look at a major building supplier for ceramic insulators, knobs etc. You can also buy them in bulk from a ceramics company like Duco Ceramics at http://www.du-co.com
The best type of wick to use is a loose braided fiberglass. The best fuel is liquid paraffin.