Making an oil lamp out of old soda/beer/seltzer cans is easy and takes only a few minutes. All you need is two cans and a few inches of rope or something similar to use as a wick.
Cut the bottom part off of two cans, at least a few inches worth of each. Trim the edges to reduce the amount of sharp and rough spots. In one of the can bottoms, punch a hole with an awl or something similar, making sure to make the hole wide enough. Then cut a small rectangle of can out of the side of one of the can tops, and wrap that around the end of the rope. Pass the wrapped end of the rope through the hole in the can bottom, leaving the wrapped section in the hole. Then slip the can half with the hole and wick inside of the other can, upside down so the wick points upwards. To make slipping one can inside of the other easier, I usually cut two slits up the side of the inner one. Take some tallow or vegetable oil and fill the can and saturate the wick with it. Apply fire to wick and voila!