Never. Too many candles (and air fresheners and plug-ins) emit known carcinogens into the air. Since candle makers are not required by law to list the ingredients of their products, I don't buy them. The law says that since the scent formulas are proprietary, the makers are not forced to disclose what's in them and I'm unwilling to take the risk.
I figure I breathe in enough bad stuff every day without willingly adding to it.