I have taken to making my own nice round crayons for Lincoln to begin experimenting with. I simply peel the paper from broken crayons (sometimes the most difficult aspect of the task), place like colors in a lined muffin tin, and put them in the oven at about 170-200 for about 10-15 minutes, and voila! New crayons!
I like to take a toothpick and swirl it around in the melted wax, which can give a bit of a marbled effect to the crayons.
I use a plastic knife to scrape off any "poky" bits, and the result is a nice, smooth (aside from the ridged edges), perfectly stackable crayon.