Update in May 2018: Mr DIY also sells tealight candles – if not mistaken it was RM9.50 for 50 pcs:
I have also tealight candles being sold in Kaison as well. If you wish to find tealight candles in red or yellow, they are also sold in bulk of about 100 pieces at shops that sells Chinese prayer items.
Original article written in 2011:
If you are looking for decorated tea light candles you can get from IKEA. However for plain white ones which you may require for daily use, you can get Watsons or Guardian.
Giant also recently sells tealight candles for RM14.99 in a pack of 100 which claimed to have 4 hours of burning time. Quite reasonable charge.