Wax not working

I was asked if it was possible to engrave Wax candles in the laser. So I grabbed a pillar candle from the nearest shop and whacked it under the laser using the rotary attachment. We gave it several attempts slowly turning up the power and down the speed and the answer is 'No' wax just melts and bubbles away without really engraving.

I'm sure if we have a silver or gold candle, those are only coloured on the top few layers and you could probably cut that away but plain colour candles don't work.