That sounds dangerous.

If the wick is too long it will soot while burning. Make sure it is trimmed properly before lighting.
I have found that the best soot cleaner is Krud Kutter in the red spray bottle.

Here is a link that might be useful: Krud Kutter

The fire department is warning about burning candles. These days many fires are started by candles, so please watch your candles and never leave them unattended. I think you are courting disaster by using a lamp shade over them.

Exactly, candles are dangerous. First, put them in steady large candle holders, don't burn them down past the last 2 inches, and keep constant watch over them. And don't even bother if you have kids or pets who are curious and may knock them over.

I am sure she meant to say candle shade. These are made of ceramic and just for candles. They are actually designed to make candles burn better and guard the flame from being quite so open.

Here is a link that might be useful: ceramic candle shades

Still, any candle in a window, which I presume means sitting on a window sill, sounds dangerous.

I agree with graywings. Candles should never be burned on a window sill. I always make sure mine are on a fireproof base and sitting all by its self with nothing around it. I also never use candle rings or decorations of any kind. I believe they are a fire waiting to happen.