When you burn a dripless candle, yes, the wax essentially vaporizes. It travels up the wick where the heat of the flame becoming a gaseous wax. It then reacts with the oxygen to become water and carbon dioxide in the air.
Typically when you burn a candle the wax will liquefy. After this stage it will evaporate into the air. However, there are some candles and candle products such as Scentsy that will not evaporate at all. this is better for your home and the environment. Check out this website for more details. www.sweetsmellingtreats.com