Certainly you can use scented candles from Walmart, but be aware they may not blend so well with what ever incense you are using. So if you are using a rose-scented candle, you might want to use a rose incense so you don't get a horrid clash.
Remember that those scented candles at Walmart get their aroma from chemical blends, not from essential oils. So they won't have the magical properties that you would get from burning the actual herb or using an essential oil. So the scented candles are not going to help you much magically; although they can certainly induce a mood where magic can occur more easily.
As for using lilac to improve your psychic abilities, that's not what I would make my first choice. Better options would be Frankincense, Myrrh, Sandalwood, and especially Mugwort are much better choices.
So instead of going with a scented candle, you might think about trying an essential oil of one of those and putting a few drops in an oil diffuser. I think that would give you much better results.