. It just burns twice as fast, so you're wasting it (= yourself), I've always supposed. [url=http://www.phrases.org.uk/meanings/burning-the-candle-at-both-ends.html]HERE'S[/url] one on-line explanation. .
Thanks for the reply and the link, Mister Micawber.
Apparently the idea is that since candles were considered useful and precious, burning a candle at both ends is considered to be a rash waste. We can only really burn a candle at both ends by placing it horizontally and that would cause the wax to drip and burn out the flame quickly. Exactly what you thought.