The Pagans used candles in their Yule festivities as a symbol of light and to mark the coming of a new beginning. In some parts of the Europe, the ancient tradition of placing the candles on windows still continues. In earlier days, this was done to help the Christ child wander from place to place on Christmas Eve.
The tradition of Christmas candles still continues, although the way it is done might have changed over time. Besides gifting and décor, Christmas candles are also used at the time of offering prayers and singing carols in churches. These lines have been taken from http://www.christmascarnivals.com/christmas-candles/ just for information purpose.