There is a Misva Min Ha’mubar (higher standard of Misva performance) to use olive oil for the Hanukah lights, as olive oil is what was used for the kindling of the Menorah in the Bet Ha’mikdash, which we commemorate through our lighting.
People who wish to fulfill this higher standard generally use floating wicks. The wicks are glazed with a coating of wax so that they are stiff and can easily be inserted through the small hole in the accompanying cork. The cork with the wick is then placed in the oil cup, and it floats in the oil.
Some have raised the question of whether one indeed fulfills the Misva Min Ha’mubhar by lighting these floating wicks in oil. One fulfills the Misva of Hanukah candles through the lighting of the candles, at the moment of lighting, by lighting the candles in a manner in which they can continue burning for a half-hour; even if they are extinguished within a half-hour, the Misva is fulfilled as long as the candles were lit under suitable conditions (a rule known as "Kabeta En Zakuk Lah"). When one uses a floating wick, for at least the first 5-10 seconds or so, the flame is fueled by the wax on the wick, and not by the olive oil. It is only after all the wax on the wick has melted that the olive oil sustains the fire. One could therefore argue that since the critical moment is the moment of lighting, and at that time the flame is fueled by the wax, not the oil, the Misva Min Ha’mubhar is not fulfilled when lighting a floating wick.
Therefore, some Medakdekim (people who are especially meticulous in their Halachic observance) make a point of first lighting the wicks to melt the wax before lighting them for the Misva, or scrape the wax off the candle (though this is very difficult to do). This way, the flame is fueled by the oil already at the moment the candle is lit. (It should be noted that submerging the wick in oil before lighting will not solve this problem, because the flame will then be caught by oil, and not a wick, as required by Halacha.)
Of course, this applies only on the level of Misva Min Ha’mubhar, and for those who wish to ensure the very highest standards of performing the Misva. Our candle lighting on Hanukah is already far beyond the minimum strict obligation, which requires lighting just one candle of any kind. As it is, we perform the Misva on the standard of "Mehadrin Min Ha’mehadrin" by adding a candle each night. But in the spirit of "Hidur" (higher standards of Misva observance), which is very prominent in the context of the Misva of Hanukah, it would be preferable, if possible, to ensure to remove the wax from the floating wicks before lighting.
Summary: The Misva of Hanukah candle lighting is performed at a higher standard by using olive oil. If one uses wax-coated floating wicks for the lighting, it is preferable, if possible, to first light the wicks to melt the wax coating before lighting them for the Misva.
