A related question was asked on SE Skeptics - Is this tealight-flowerpot heater more efficient than just tealights?
In the third answer, it is claimed the heat produced by one tea light candle is 0.75 MJ per candle.
Where I live, one of the domestic gas suppliers sells gas for 2.78 cents per MJ. The energy value of the gas is 38.713 MJ per cubic metre of gas.
To produce the same heat as one cubic metre of gas I would need to burn 51.62 candles (38.713/.75 = 51.62)
The cost of candles can vary from 50 cents to 30 dollars.
At 50 cents per candle the cost of 52 candles is $26.
The cost of one cubic metre of gas from one of my local suppliers is $1.07 (38.713*2.78/100).
Clearly, The cost of using candles for heating is far more expensive than using natural gas.
Additionally, candles produce soot, which pollutes the air in the room & can lead to respiratory health issues.
The other negative thing about burning anything in a closed environment, such as a room or a house, is the burning process produces carbon dioxide and it may also produce carbon monoxide, which in high concentrations can be fatal or cause brain damage due to oxygen starvation on cells in the brain. If you need to been anything in doors, ensure a flue or chimney removes the gaseous products of combustion to the atmosphere outside.