I haven't tried them, but I've talked to people that have. It's an old idea-- the first time I heard about something similar was back when I was a kid-- a friend of my parents said he heated his camping trailer by putting a flower pot over one of the burners on his stove- so that was using propane instead of candles. Using candles can be dangerous because if those little candles get too hot under the flower pot the was can suddenly combust and you've got more serious things to worry about than a cold room. I guess if you keep a close watch on things they would work-- at least for a small room (like our friend's camping trailer).
it's not the candles- it's the clay flowerpot that gets very hot... but without a fan, the radiant heat only goes so far.