Here's what I did:
Use a room temperature tangerine.
Carefully slice the tangerine in half and slowly peel off the skin. You want to keep the center white flesh (wick) intact as much as possible.
Fill the center with olive oil (I think any other oil would work as well)
Let it soak for a minute or so. If it doesn't soak, the "wick" won't light.
I cut a simple design at the top of the other half, as was shown in the video...any design will work, as long as there is a hole there.
...and then light! YAY!