I have found that tealights work really well for most of the spell work that I do, and the wax is always almost completely gone once they are burned out. I have buried the ones for things I am drawing to me... and the banishing ones get tossed in the trash and taken out right away. The tins from the others I recycle.

The thing I heard about blowing out the candles is that it is an insult to the element of fire. I usually snuff them out if I need to leave before it is done, but if I can't for whatever reason I apologize first.

I don't know what kind of furnace you have, but that sounds like it might be dangerous... even in a fireplace I'm not sure if those might deposit something in the chimney that could start a fire. Be careful. :)