Do you mean to use glass as a mold, or just to burn a candle in, or what exactly?
To use it as a mold and have the candle with the flame on.
I’m not positive of this, so take it as you will. I think if the glass is very thin (like a fine crystal wine glass) it might break. I’d say any thick glass (like a regular drinking glass) would be fine.
Teacups! If you can get them cheap at, say, a garage sale or thrift store, teacups with saucers make great candle molds/holders!