You should cover candles when not in use. Soy wax candles are prone to evaporation and the fragrance oil load may deteriorate over time. Paraffin or pillar wax holds the fragrance better. A lid or cover also protects the candle from dust which could interfere with performance.
You can cover candles with cello bags or a glass Glock. Some of my pillar candles are stored wrapped in cling wrap. I have an entire article on how to care for candles if you are interested. Read here.