Where does the wax go?

Where does the wax go when you light a candle or use a wax melt?

When a candle burns, the flame melts the solid wax into liquid. This liquid wax is slowly drawn up the wick, where it feeds the flame and becomes a combination of gases: carbon dioxide and water vapor.

Once a candle has completed its safe lifespan (1/4 of an inch from the bottom of the jar), the remaining wax evaporates a tiny bit and then solidifies into a small wax chunk at the bottom of the container. 

tl;dr: It goes into the air!

A wax warmer, on the other hand, uses a bulb or heating element to gently melt wax. The heat is just enough to release fragrance from the wax, but not enough to vaporize the wax itself.