The wick section would burn out after a prescribed time
leaving a little nub of wire core to melt through the thin
layer of wax on top of the next
segment. You'd hold your lighter up to the wire
which would transfer the heat into the wax and melt it
away allowing the next section
to light.
Not
as neat as the CO2 bubbles but probably a little easier
to do.
Self extinguishing candle III is MechEs which he should post
as it's pretty clever (read it after posting mine):
//The first would have two wick columns, with each one
being made up of multiple sections of ~1hr burn time, with
~30 minutes between sections. The two columns would be
far enough apart that a flame on one couldn't light the
other. You light one, and it melts the candle far enough to
expose the other column before extinguishing, and you
switch back and forth.//