It is very important to use a good quality lamp oil in an oil candle, or a traditional oil lamp.
The best quality lamp oil, such as Clearcraft lamp oil, is indeed paraffin but it is not the same as you might find in a paraffin heater for example.
It is a C10-C14 paraffin, which refers to the length of the carbon chain that makes up the fuel.
The shorter the chain, the less energy is required to break the molecules down, leading to a greater chance of complete combustion. It is incomplete combustion that can cause smels and soot.
Furthermore, a good quality lamp oil will hav e avery low aromatic content, which is another source of impurity.
If you wish to use regular paraffin in an oil candle or lamp, it is perfectly possible to do so, but be prepared for quite a strong smell and quite a lot of soot emanating from the flame. I would recommend that you only risk using cheaper paraffin outdoors.
Kerosene is often used as a cheap fuel, and it only has a flashpoint of 37 degrees as opposed to 65 degrees for a quality lamp oil, so is not so safe.