I am not sure if you want to make the ice candles with wax and ice or ice candles made entirely of water! Here's two links!
I made them like Go said...put taper candle in the middle of a milk or OJ carton. Fill with ice...either cubed or crushed. Need larger pieces of ice for lacy look. When Ice has melted, peel away carton. Wallah!!!! Be sure you peel away carton over the sink...Lots is water will come out. I love the look when candle is lit.
Here's a great post for you.