I don't have this massage candle, but I have the JimmyJane and the LELO massage candles.
Always blow the candle out before using, then test it on your finger so you have the temperature you or your partner prefers for massages. I like mine right after the candle is blown out, HOT, my husband prefers his candle/oil cooler.
Never apply the wax while the candle is burning. Burns could result. So could fire, in rare conditions.
One way is after its blow own is to raise it further from the body. I'd start out at about 18 inches from the skin and adjust for temperature from that point. Because various manufacturers add different agents to their candles, starting out at the furthest point from the body and working in as temperature and preference dictate would be a safer way to play.
Also, remember that wax is difficult to get out of hair, so do apply a buffer oil, like baby oil.
^ This is great advice. Putting more distance between the candle and your partner's body cools it a lot.
Candles that are made specifically for play purposes tend to burn at lower temperatures. The real dangers start to come when you get your own "regular" wax candles and don't know their burn temps (they can be very high). Trial and error is best - meaning do it yourself first, on yourself, before trying it on a tied-up partner. Also, sensitive skin burns more easily/painfully, so be more careful around the genitals and nipples.