Fill either a glass, brass or metal oil lamp with lamp oil or kerosene. The oil can be found at any hardware store. Lift the glass chimney off the lamp and unscrew the oil burner top (in some cases this is a pressurized latch instead of a screw-off top).
Pour the oil in until it reaches approximately ½ inch from the top of the lamp.
Cut a 12-inch strip of wick from the wick roll. You can also find cotton wicks at your local hardware store.
Insert the end of the 12-inch strip through the bottom of the lamp top up through the small, narrow opening. Allow the other end to sit in the oil.
Replace the burner top. Adjust the wick top protruding from the lamp lid with the dial on the oil lamp. The length of the wick that protrudes from the lamp will determine the size of the flame.
Light the wick with a match or lighter and turn the dial knob on the lamp side to raise or lower it as needed, so the flame won't char the glass chimney.