Leave candle in a cool place, as it will allow the candle to burn more smoothly.
When you first burn your candle, make sure it has formed a melted pool of wax that is melted all the way to the edges of the jar.
If your candle is still not staying lit, cut away some wax at the top of the candle around the wick. Keep doing this until the wick can support a flame. When it burns, drain the pool of wax around the wick, so that it will not put the flame out.