A cheap method that I use each year is to buy a pack of dixie cups and put a votive candle in them. The candle is slightly below the top of the cup to keep the wind out. The cup is waxed and I have yet to have an issue with one burning.
I always go with a small little tealight candle holder... something deep enough to where the wind makes it flicker but doesn't have the ... vulnerability to put it out.. I would check out your local Dollar Stores if you have any near you.. they have cheap little glasses that I use and work wonderfully