There is a fire risk - a fire extinguisher should be ready. Make sure there is nothing flammable nearby.
Always follow general safety
recommendations. Please note that conducting chemistry
experiments you must comply with the relevant legal procedures in
Vegetable oil consists of various triglycerides containing unsaturated fatty acids. These substances are flammable and usually burn with a smoky flame (because of incomplete combustion of oil). Due to capillary effect oil climbs up on the wick and burns on the tip of the wick.
It is better to use olive oil because it gives a more clear flame without bad smells.