Yes! Don't use plastic for the double boiler! I use a very small saucepan, I think it was originally part of a mess kit for cooking on a fire while camping. The saucepan is only for candles and I put it inside a regular sauce pan to make the double boiler.
As far as the problem keeping them lit, it might because there's too much color in the crayons. Do they give off a lot of smoke and soot when burned, more than store bought candles? I've found when making candles using crayons it's best to use mostly plain wax, and then add a little bit of crayon for the color. Crayon wax has a different composition than normal candle wax--that's why it's easier to draw with crayons than with a candle!
You can buy blocks of clear or white wax at craft stores, but a good place to find wax cheaply is thrift stores. People donate old candles all the time, I've gotten whole grocery bags full for only a few dollars, and usually you can melt them down and pick out bits of old wick pretty easily. It won't be totally clear/white wax, but it usually ends up a light enough color than you can re-color it with a crayon or two melted in, especially if you're staying in a similar color family, like turning a light pink candle red.