Depends on the wax. The really low temp stuff is purely sensation, the higher temp stuff deffinately crosses into pain.
Pain and pleasure can be very very interchangable. I've done it a lot - both at clubs in public settings as well as on cam, and in my private life. I've done it for photography purposes as well as intending to cause pain. It can be a fun way to mind fuck someone who is blindfolded (make sure they've consented to this kind of thing of course) where you make them feel like they've been cut.. or they can't place the sensation.
Some basic info:
You can use sex store low temp candles, (usually soy) for no pain. The next 'level' up where it may cause a slight burning sensation is to use the jesus-jar candles that you get from drug stores etc. These are usually very low temp, and if you use a candle warmer or double boiler to heat the wax you wont have an open flame so you'll have even less chance of burning.
when you drip the wax from a jar candle with a flame in it, it may be more likely to sting (but it shouldn't burn) because the wax is coming directly from the flame. This same principal applies with taper candles. If you do use tapers these are made from all kinds of different burn temps and waxes so be sure the ones you're using are made for wax play. The higher you drop the wax from the longer it has to cool on the way down.
Never use tealites (the wax is often very very hot and the metal casing will burn your fingers) or beeswax. Beeswax will cause severe burns as its a very high temp. Always test candles on the inside of a wrist or similar before using. Skin is different person to person and you may have an allergy or be more sensitive to heat levels . Avoid sensitive areas like your genitals unless you've tested these also. Do not put wax inside your vagina or anus.
