Nowhere-it simply changes into other substances. That is what burning does to everything.
The moment you put a match to the wick, you start a change in the candle by turning the solid wax into a liquid. The liquid wax rises to the wick by an irresistible process called capillarity, the simplex example of which is the way blotting paper soaks up ink or water. Then the liquid wax changes into a gas which burns-a chemical reaction which releases energy in the form of light and heat.
The presence of the gas can be demonstrated by blowing out the candle and immediately holding a lighted match an inch or so above the wick. The inflammable vapour instantly catches fire, and the candle lights up again without the match having actually touched the wick.
Other changes are taking place while the candle burns. The wax is a complex chemical compound of carbon and hydrogen. The process of burning is simply the combination of the wax with the oxygen in the air. If you put a jar over the candle, it will quickly use up the oxygen and go out.
During the time the candle burns, the carbon joins with the oxygen in the air and makes carbon monoxide and carbon dioxide, and the hydrogen combines with the oxygen to produce water.
While all these changes in the substance of the candle are taking place, the candle, of course, is becoming shorter. But it is not “going” anywhere. Its materials are simply changing into other substances.