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.