We hold that Chanukah candles have to remain lit for half an hour, and that at the time of lighting there must be enough oil or wax to last for half an hour under the conditions present at the time of lighting. In other words, if they are lit in a place where there is a wind that is likely to blow them out, then the lighting is not considered to be valid.
I have always thought it problematic for a family that lights several chanukiyot to use those small, colorful candles on the later nights of Chanukah. Since most people place their chanukiyot in close proximity to one another, the amount of heat generated by upwards of 40 candles causes the candles to burn faster than usual, and since under optimal conditions those candles only last half an hour, it would seem that this is tantamount to placing the candles in a windy spot where they are sure to not last the required minimum time.
I have finally found one source to back up this idea. In a book called מקראי קודש, by Rabbi Moshe Harari of Mercaz HaRav (published in 1996), he cites on page 65 a conversation with Rav Mordechai Eliyahu who specifically advises against having these candles too close to one another, as that will hasten their burn-down time. Has anyone seen another source for this idea?