Make your own wicks for an oil lamp! Lots of ideas here. For making a wick to set in wax: http://www.ehow.com/how_4842021_make-candle-wicks.html Also, consider wood wicks for a crackling fire effect. But keep in mind, http://candleandsoap.about.com/od/votivesandcontainers/a/safecontainers.htm
How to make charcloth for a fire starting kit. I like using replacement wicks for oil lamps. You can find them on Amazon (Flat Oil Lamp Wick, 3/4-Inch) for around $4 per 3ea. These really catch a spark well and are very durable. We call it 'Super Charcloth'.
DIY Elegant Oil Burning Rock Lamps---(will burn for hours on a small amount of oil.) You will need: 1) rock/slate 1) 1/4 concrete drill bit ($2.00) 1) strip of cotton for wick, or a fiberglass wick (preferred) 1) glass jar for oil container 1) small bottle of gorilla glue (worth having around for a dozen applications) 1) bamboo or other material to surround glass jar.