Depending on the spell yes, you should let it burn out completely. However, no candle should ever be left unattended. If you absolutely must leave, but the candle out. When I am using long candles I will mark a spot an inch or two down on the candle and put a pin in it, or several depending on size of candle, when the flame meets that level, I put it out.
Using short candles, about three inches in height is idle if you have them on hand. Tea lights also work, in my opinion.
Most of the time, you will let the candle burn out. However, there are candles and spells that are meant to be burnt a certain amount of time. Some examples would be 7-day or 9-day candles, or the 7 day knob candles.
Tealights are cheap and easy to use if you don't have much else in your house. They burn down and out faster as well, so it could be a really quick spell if you don't have any tapers on hand.