Check out this very creative idea from Free People.
What you need:
A small pumpkin, a sharp knife, a spoon, candle wicks, wax and if you want, scented oil.
Start by cutting the top off the pumpkin.
Next, use a spoon to remove the insides of the pumpkin.
Place a wick inside the pumpkin. Use a sauce pan on low to medium heat to melt the wax. If you want, add a couple drops of scented oils like vanilla or cinnamon into the wax.
When the wax is completely melted, pour the liquid directly into the pumpkin and let sit over night.
Once the liquid turns a solid white color, you can lite it on fire. Display them for Halloween decor and enjoy!