My mum lights 15 tealights every night, not including replacing the burnt out ones. It does eventually raise the temperature slightly but it would cost a lot more than simply turning on a halogen heater. Candles simply don't give out enough energy to raise the temperture of a room significantly.
As well as the danger of carbon monoxide, there is a longer-term danger with tealights. If you use them at the level my mum does, there are risks of developing the same diseases smokers can get, probably including lung cancer. It's because of the nasty chemicals produced by the wax.
If you use candles at the level of a normal person (ie not burning 15 of them all evening) then your risks are low. If you are like my mum, then beeswax candles are much safer.
My mum actually uses more tealights than my Catholic church, she's not religious, she just likes tealights