To clarify, the wick that I have is like a long white wick. It looks like rope or something; it's not wax. Must I have a float? What is the floats function?
You don't need a cork float, they also have what are called "Old Believer" floats that rest on top of the glass and it sounds like that is what your using. Is it something like this: http://www.holycross-hermitage.com/cgi-bin/commerce.cgi?preadd=action&key=WH4002
? If so, I might know what your problem is. The wicks that you are using must be the cotton ones. If you have some trouble getting the wick though the float, then thats the problem because if it's too tight a fit, then the oil can't soak up to through the wick and it won't stay lit. Usually when you take the wick, it is in three strands twisted together. What you need to do is take them apart so you just have one strand (I hope this makes sense). I had that problem when I used the "Old Believer" style holder and it took me a while to figure out why my flame wasen't staying lit but then I just took the strand apart.
If thats something your not using and I misunderstood you, I guess you can just ignore it and buy yourself some cork floats and some wicks.