Cut the Rolling Pin
First, you cut up the rolling pin in different size parts. This is best done with a circular saw. With a hand saw also works well, it just requires a bit more elbow grease.
Then, drill the hole for the candle. Or, if you don't want to drill, just take a candle skewer or a nail without a head and hammer it into the wood cylinder. The candles are then not inserted, but 'impaled'.
With sandpaper you round off any rough edges and smooth down the wood nicely.
Finally, attach the copper holder, if you are using them.