The best way to get the scent out of scented wax candles is to not set them on fire. Intstead, combine the best elements of "essential oil" burner and scented candles.
Put the scented wax in the top part of the burner, and put an oridinary tea-light in the bottom as per usual. Light the tea-light and it will slowly melt the wax in the cup above. The wax will start to release purfume as long as it is liquid. When you're done, just blow out the tea-light and let the scented wax re-harden. It'll come out the top-part nice and easy for future use. There is so much scent in the wax that you can reuse it for months. They have to put in heaps to get any scent at all from a burning wick.
You can use those 'simmering waffle bars' that Aquisitions has, but it works just as well with Warehous scented candles. At the moment I have chocolate, cinnamon apple, and wildberry waxes. Yummy and much cheaper than incense.