Waxes are hydrocarbons - this means the wax itself is made of carbon and hydrogen molecules. When you heat it, the hydrogen and carbon molecules are released as a gas - this gas just mixes in with the air (which is why others said evaporation).
If you have scented candles, the scents are often made using benzene-like molecules, which are also made mostly of hydrogen and carbon, which will mix with the air when made into the gaseous form.
Usually burning candles won't cause a build up on the walls because the hydrogen and carbon is released into the air as small molecules, not as chunks of hot wax.
at 12:19 PM on Oct. 27, 2010