The Law of Conservation of Mass tells us that matter is neither created nor destroyed during a chemical reaction. Atoms can be rearranged to form new compounds, but the total mass of the system remains constant.
A burning candle is an example of matter undergoing a chemical reaction and being changed into new substances. The Law of Conservation of Mass applies as the total mass of the products is equal to the total mass of the reactants.
Candle wax is a hydrocarbon that undergoes combustion. There are various components of the wax that have the general formula `C_(n)H_(2n+2)` .
Here's the equation for combustion of the wax having the formula C31H64:
`C_31H_64 + 47O_2 -> 31CO_2 + 32H_2O`
The number of each type of atom is the same on both sides of the equation, so the sum of the masses of the the wax and oxygen consumed equals the sum of the masses of the carbon dioxide and water vapor formed. Any soot formed from incomplete combustion or wax residue is also accounted for in the final mass of the products equaling the initial mass of the reactants.
The water is generated as vapor, so both products of combustion are colorless gases. This is why it might seem like the candle is disappearing as it melts, when in fact the liquid wax is being drawn up into the wick, vaporized by the heat and burned.