No I haven’t, I never bought veg. shortening as it’s hydronated oil. But when I lost power I made this emergency heater with candles and terracotta pots and it indeed would warm the room I used large pots so they take up large heat.
I’m not sure, he put on the glas jar the lid which has plastic lining and a candle needs air to burn… here something different, I did this once, you can also make it with orange and I used olive oil, it’s a little fun project 
Update: I bought Clementines, I love them. When I studied in Malaga, Spain, I saw the trees on the sidewalk and the fruits just fell down and were crushed…
I made the candle like in video and it’s burning for 2 hours and there is still oil left, it’s smells indeed orangey… a nice smell for holidays, give it a try; if the “wick” is too long trim it…