I've been using leftover or discarded wax candles. Melt them in an old skillet and pour the wax about 3/4 inch thick in some kind of container. Add as much sawdust or wood shavings as the wax will absorb. When cool enough to handle break it apart into whatever size pieces you desire. Garage sales or GW Fashions (GoodWill) are good places to get large old candles for a quarter or two.
As mentioned above, pretty much any source of organic material can be used instead of sawdust. Paper, cotton balls, etc. After learning of this method I won't go back to using just newspapers and kindling. (That and the fact our local newspaper just quit.)