You can buy the 15 pans or the 4 pans for eyeshadows. They also have a 6 pan for blushes. They run 12.50 for the big and 4.50 for the small last time I bought one.
Cover Girl makes 4 pans that you can get at Wal-mart or other like stores for $3 that also fit mac eyeshadows.
The only time the candle hurt the shadows was when I got it a little too close to the flame, but all in all I hold it like 2 inches away and I've never had a problem and I've depotted close to 40-50 shadows and blushes.
I totally SIT the shadow on the open flame nowadays and it has yet to injure the shadow. The plastic melts a lot faster than the pan. As a matter of fact, it's a lot easier to depot without casualties (I'm still mourning my plumage and black tied which has a whole crapload missing from both of them)