I bought the cups and saucers from the charity shop a few weeks ago and bought my wax supplies from Endless Green. I highly recommend the teacup making kit which comes with simple instructions. I chose to buy soya wax as this doesn't harm the environment in the way that paraffin wax does. It is important to follow the instructions for the wax that you buy as they each have their own specific melting instructions.
I found this really simple and dyed mine pale blue and scented them with a Calming Neal's Yard oil. The only really tricky bit is getting the wick to stay in the middle of the cup as the wax is poured in. I made my wick very long and sellotaped it to the edges of the cup but the method that Pie Bird used also looks good.
Let me know if you try it out.