Spiral Light Candles in Minnesota makes them. A machine wraps the cotton wick in a spiral around a small mold. That mold is then placed into a larger mold, and wax is poured in between them.

You'll also need a wick to burn. Your candle mold should come with instructions as to which type of wick to use, but generally, thinner wicks are for small candles, and thicker wicks are for ...