Warming the candle wax might actually make it harder to remove. I've heard you should put candlesticks, etc., in the freezer, so the wax will peel off cleanly. Because warm wax leaves a messy residue behind.
Do not put used candle jars, cups, holders in the microwave to remove the wax unless you are sure the wick was not held in by a metal base. From experience, the microwave might spark, become damaged, or worse.