Does oil burn? We poured some oil into a lid and tried to light it. It didn’t work because every fire needs a certain amount of oxygen, and whole lid full of oil is too deep to provide enough oxygen for a fire. On the other hand, if we let a bit of cotton thread hang into the oil with one end (works best if the thread has been soaked with oil first) and then light the thread, the oil is spread on the thread so lightly, that the oil has enough air contact and burns. Also, new oil is drawn up through the wick continually, so the flame can continue to burn without difficulty.
Why do we need a wick? Oil, wood, etc. never burns itself. Instead, the gas, that rises from the material when heated, mixes with the oxygen and burns. Same with our little oil lamp. The oil, which rose into the wick is gasified by the heat of the flame, and is mixed thoroughly with air. This oil-air mixture is the real fuel for our little flame.