Candles are made of wax and thus most people are not allergic to wax. To have a baby play with an unlit candle while being supervised should not be dangerous. Make sure that they do not put it in their mouth.
However lit candles and babies do not mix. Keep a burning candle away from babies, small children, curtains and pets; in a place where they can not reach it.
The aroma which some candles release affects babies the same way it affects us, and should not be harmful; as long as there is ventilation in the room where the candle is being lit.
NEVER leave a lit candle in a bedroom dresser where there is a baby sleeping with the door closed. As it is, candles should always be supervised when being burned. It is recommended that you light a candle in a well ventilated room. Fire will consume oxygen, and when the oxygen gets in very low levels in the closed room the fumes of the candle alone will kill you.
So be wise and keep your candles away from babies, light them under supervision and proper ventilation, and your candle burning days should be long and pleasant.