I have had candle wax dripped on me, rather erotic if you are into that sort of thing. You do have to be careful about not being burned, the closer the candle is when the wax drips off of it the hotter it is, more distance equals more time for it to cool in the air. The one thing to be careful you need to be careful to only put the wax on one drop at a time, a large "pool" of wax will burn the other person, a good way to avoid this is to use a tall slender candle not a candle with a large diameter.

As for mess, not much, just change the sheets and maybe you need to sweep/vacuum the next day.