Geeza: DON'T EVER dunk your wicks in water! It's a surefire way to ensure they never light again. Water displaces oil based fuels like paraffin so if there is any moisture in your wicks they will simply not soak up fuel. If your wicks get soaked in water you're looking at a week of drying them outside to get all water out before they will burn properly again.
The correct way to put them out is as Mr Majestik suggested, to smother them, or simply to spin them out. I often blow the wicks on my staff out after they've burned down quite a bit. Once the flame is out, they will begin to smoulder - most people say that the smouldering damages the material of the wick, so you want to stop it smouldering by dunking it back in paraffin. Don't worry, paraffin has a very safe flash point so as long as the flame is completely out you won't set anything on fire by dunking the wick while it's smouldering.
