Create a candle out of an orange. Do you think it will burn? Try lighting the wick in the middle without any oil. Next add oil and see if it lights. Try putting a glass jar over the orange. What happens eventually?
When the lighter is held by the wick, heat is created. The heat causes the cooking oil in the wick to evaporate and then ignite. The remaining cooking oil is sucked up into the wick and acts as fuel.