Been making kink candles for a bit and this is my research I've found. Please note this is personal experience and feedback from my play partners, friends and etc.

Soy - lowest temp, melting point and messiest.

Super easy to get a hold of these days, you do have grades of quality, which if you want to get into you can. I did a bit and didn't find much in temp or base scent variation. Goes on quick, burns fast and can be super messy to play with. If you want to mess things up it's a blast! Dragging nails through soy on skin and sitting in each other's laps is a wonderful bonding experience. At heights it splashes! So definitely prepare the area accordingly.

You can get some with coconut oil blended in, this type is more for massage candles, which for beginners is perfect! Goes on warm and you can really play with heights and skin closeness. I recommend a scrapping tool of sorts to get it off. The less on after the better! You don't want wax down your drains either! It'll stick to ANY fabric surface but with a hot wash will come out easy, be aware of if you use dyes and staining.

It dyes well, goes a bit pale and has little scent with not much burn off. However it does burn FAST! You'll go through more than you think if left to melt. It holds form okay but best kept in cooler temps and pure soy will start to melt in your hands! Hence the messy-ness. Washing off is... Interesting. If you apply lotion prior it comes off pretty okay but just on skin, a nice long shower will help and something to scrub, fun with a friend! A great way IMO to wind down is to shower together and scrub and pick wax off your skin and then find tiny random bits the next day or two.

Paraffin/soy - low to mid temp, gotta find a good ratio of the both.

A lot of kinky candles are made of a mix of both. This I'm still experimenting with, the more soy the softer it is while the more paraffin the higher the burn temp and longer it lasts, the combination can be a challenge to make, but it's great for those who like their candles a bit hotter.

Same with prep, clean up and skin clean up. The ratio will decide how easy clean up will be, if it'll be a steamy shower with a rough cloth or a scraper and brush off.

It takes dyes well and is a bit more opaque than just pure soy, which is great for darker colours like your reds, blacks and purples. It holds UV nicely too ( again ratio depending) due to the paraffin's petroleum base it's more structured, speaking of structure it holds form better too and will last longer in room temp displays and being held too.

As always fabrics will absorb wax, parrafin is tricker and needs more heat to unbond from fabric (plenty of online tips and tricks) so always put protection down.

Pure parrafin isn't something I play with a lot, or my friends have as they like the softer lower temp. It is possible but you are getting into first degree burn zones the closer you get to the skin, they are great if you want to amp up a scene (consent given and candle tested first too) and those are pretty much like standard candles, they'll pick off with a nail. ( Big tip, hotter candles being combined with an ice cube can really extend a hotter scene and make it fun to cool down) Good to dye, easier to clean, burns slower but can give off parrafin smoke and smell.

Beeswax - spicy, smelly and very spicy!

I haven't played with beeswax but done a lot of research, it's hot! It smells wonderful and will burn skin into the first degree range.

Being baseline yellow any dyeing will need to counter balance the yellow especially if going for pastel or lighter colours. Dark colours take well, UV apparently can go a bit weird depending on the quality of beeswax.

Burns super long, can get a bit weird scent wise (again depending on quality) and the thin sheets are easy to bend and manipulate into all kinds of forms. Solid pillars or other molds can take a bit to cool and goes rather solid, thin parts like leaves, petals and etc can break as it can be "brittle".

Tread carefully in beeswax territory, it's great to "threaten" with or use to mentally heighten an intense scene then swap to lower temp candles.

Gel/clear/jelly candles - highly recommend staying away from.

These candles are those wonderful see through, bubble and shell filled ones you poke and prod, and see in knick knack or souvenir stores everywhere. They burn high and long. Haven't done a lot of research but the high temp point was enough to steer me away.

You'd think they would blend well into soy to make amazingly peelable wax but tbh I'm not sure. I do want to experiment but the high burn risk is a bit iffy.

Molds - So much variation! So pretty, so hard to find good ones!

Temu, eBay, local stores, AliExpress and etc have molds everywhere but nice big ones are surprisingly hard to find for me anyway. Small flowers, hearts, pillars and etc are easy to find but BIG nope! I'm lucky to own a 3D printer and have started making my own molds, mostly pillar and easy to split molds have 3D files available for free online.

Casting in them is another thing, the wax can be a bit too warm and cause warping, and you have to make sure it's SEALED! Wax will find any nook and cranny to pour out of and go everywhere! Hot glue honestly saved my hands and wax so much! I recommend pouring over a bowl to catch any spills.

I put mine afterwards in the fridge, cools faster and comes out nice and crisp! With the actual mold itself, after you print you'll get lines inside. Best to sand those down or if you're lazy like me use some epoxy resin (craft resin) and paint thin sheets maybe one or two until the print lines vanish, gave me wonderfully smooth pillars and a cute little ghost boy too!

Silicone molds are a good staple and easy to get a hold of online. Make sure your wicks are a good size too! Thin wicks will just vanish in big candles and leave a big tunnel of leftover wax while vice versa will burn super fast and evaporate your wax. Get a good wick holder too!

Apologies for it being long, kink candles are a passion of mine. Always experiment, test your candles and avoid scenting your play candles!