This type of candles are made from sheets of wax which is rolled around a wick, much as you would roll a sheet of dough around a filling to make jelly rolls.
This is the simplest method of making candles and a good way to introduce other people to candle making.
What makes rolled candles so much easy to build in the plenty resources available of wax sheets made specifically for rolling. For sure it is possible to make wax sheets on your own but this is not advised as you can find cheap materials in craft shops.
Those ready materials do come in dozens of lovely colors and are commercially prepared specifically for rolled candles. The majority are made of pure beeswax.
Be sure to check the label to determine what wax or blend you are getting as the price will vary accordingly. And be extra careful, don't pay the pure beeswax prices if paraffin has been added to the mix.