A lot of different opinions about that... to cut a long story short I'd say it's worth giving it a try if you do not exaggerate with the amount of mica! Too much mica can clog the wick (either cotton or wood) and won't anyway add more colour to the final products! For this project I have used soy wax and paraffin and two different kinds of wick (cotton and wood). To dissolve mica powder I have used some carrier oil (sweet almond oil) and did that before adding micas to the melted wax. I have used only a tiny amount of micas! For more details on how to make mica-coloured candles please visit my FB page
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