Coat the outside of the candle with varnish. If you hold the candle by the wick you can even dip them in the can. The varnish forms a hard coat which will prevent the wax from running down the outside of the candle.
If that candle is a bit too large to fit into a holder don't whittle it down. Dip the first inch in very hot water for a minute or too. That will soften the wax allowing the candle to slide into the candle holder with a perfect fit!
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