I got a couple of hours to do some sawing and planing this evening while preparing the timber for my bench legs and aprons - this is my 2nd attempt as I made a hash of the first ones. Happily this made for a 100% scientific comparison what with the first attempt being candle-assisted and attempt two using the rag-in-a-can-oiler (RIACO).
Safety-considerations
you may well think there is not much between them, but you are probably forgetting that all candle users regard their candle as a 'lifetime tool' (c.f memzey's comment above) and at some point, therefore, will have pinkies close to a sharp blade as said candle wears down. No such risks with the RIACO.
lubrication effect
not a lot of difference on the planes, tbh, but I could feel a big improvement on the saw. I have been experimenting with a very narrow set as part of my saw sharpening escapades and have probably overdone it with my 'spearior' panel saw, so that it was prone to binding in the cut. What I found with the candle was, when combined with the slightly damp resiny scaffold board I was cross cutting, that the candle wax was combining with the resin imbued moisture and creating a sticky gunk that made things worse. The RIACO made a big difference and no binding occurred (I am being serious on this point!)
mess
neither device creates a mess.
ease of use
No special training is needed for either lubricator, however, life is too short to squiggle a candle on both faces of e.g a rip saw. The RIACO in comparison is a dream - swipe, swipe and you are done. You can also do your planes without changing the position of your right hand too. Furthermore - as if you needed more reasons! - there is something annoying about squiggle motions, whereas a graceful swipe with the RIACO is rather soothing.
I defer to custard on compatibility with specialist finishes, but leaving that to one side it is a hands-down win to the RIACO.
Fellow candle-lubbers should give it a go - you are bound to have a half can of something-or-other lurking in the kitchen.