Hi and best of luck with your paraffin hybrid experiments!
Instead of using candles, I'd recommend starting off with canning/sealing paraffin that you can get in any supermarket, typically with the brand name "Parowax". It's cheaper than the equivalent weight of candles most times -- although the ten-inch-by-two-inch glass-enclosed "saint's candles" (large votives with pictures of saints, etc. on the glass) can be pretty inexpensive.
You could try cheap "pillar" candles (fat, freestanding candles), which use a higher melting point paraffin than most "container" candles, because it's needed to keep the freestanding candles from slumping. With "container" candles there's no guarantee of getting higher-melting-point wax.
You can often get 5 or 10 lb. slabs of candle wax or paraffin in hobby/craft stores and the price is generally better than for the 1 Lb boxes of Parowax. But one box of Parowax is usually good for, let's say, six 38mm x 8" grains -- which is a good starting size for paraffin grain experiments.
I'd also suggest adding 10% by weight of low-temp "hot glue" sticks to further raise the melting point and help strengthen the grain. These contain mostly "plastic wax", which has longer carbon chains than paraffin and thus too high a percentage will hurt the wax's regression rate. But the higher melting point and stronger grain will help keep too much liquid paraffin from sloughing and flying out the nozzle when your grain is burned. Play with the percentage until you get something that works best for you.
You can also get Vybar 103 from online candle suppliers or sometimes from the hobby/craft shop. This has the same effect, is more expensive than glue sticks but you also use considerably less of it (maybe 2-3% by weight, typically) and it is designed especially for improving the physical characteristics of the paraffin.
You could also try using a wax that has a nice high melting point and hardness, even without any additives, namely "Palm Wax". Here's one source:
http://www.candlescience.com/wax/palm-wax.php It can also be found sometimes in hobby/craft stores in 1-2 lb bags. I'm testing it now and like it a lot.