Materials:

Medium melt point wax for pillars (around 135-140)
Additive of preference (stearic, vybar, etc.)
Candle dye/color
Fragrance oil
Pillar mold (4x4 or 4x6 is most common)
Wicking for pillars in appropriate size
Mixing bowl
Fork or electric hand mixer
Spatula

Instructions:

First make a core pillar as you normally would using wax, additive, color and scent.
Be sure to make enough wax for the pillar, repours and extra for the whipped wax.  Once the pillar is hardened, remove from mold.  Pour leftover wax into a mixing bowl and allow to cool until a skin forms on top.  Begin to whip the wax with a fork or electric hand mixer.  This will take practice to get the right texture and consistency.  The wax will thicken and become somewhat lumpy.  Here's the tricky part, you must frost the whipped wax on the pillar before it dries.  Whipped wax will tend to try and dry quickly, so you must work fast.  Use a fork, spoon, or spatula to apply the whipped wax.  If wax begins to dry and become too lumpy, add more hot wax from melting pot and stir around again.  You can hold the candle by the wick or place on a lazy susan to turn it.  Once compleletly frosted, allow to dry.

You may leave the candle as is, or you can do an overdip in the same color wax, or clear wax depending on what look you prefer.  The clear wax dip will give it a glazed donut look, while smoothing out the texture a tiny bit.

There are various ways these candles can be done, all depends on the look you want to achieve.  Some dip their pillars in the whipped wax, some frost it on with a spatula, fork or even a paintbrush, and some large candle manufacturers spray the wax on.

Good luck and happy frosting!