You have to use certain types of candles for floating on the water, not just any old candle. I did some looking around and found a number of websites that sell floating candles, all claim the candles are solid and not filled with air or anything that would make them float. Then I came across a site explaining how to make your own floating candles and the cat was out of the bag. The trick is that the top of the candle has to be bigger than the bottom. You in fact creating a boat out of wax to carry the flame.

From the youtube video that I have watch before, you can float a candle in water by putting a "Styrofoam" on the feet of a candle as its stand. I'll guarantee you that it will help, good luck have a great fun with your candle :)