I used to use the empty cups and aluminum tubes from ready-made sets my family got one year, and they were fantastic because they fit perfectly in my menorah, such that they are forced to stand straight - directly upward. Before those, I always would have to keep tilting and adjusting the cups to be exactly level. But eventually they degrade and leak, so this year I bought glass. Unfortunately none of the sizes/shapes available duplicated precisely my past experience but I got it close enough.
After trying out the different sizes and shapes from Ner Mitzvah, I ended up with their
Round #3 cups. The box lists the various size appropriate wick holders you can use - I'm using the
small Tzinores with the tube pushed down through the base so that it hits the bottom of the glass. They sell the Tzinores to be used with the wax covered wicks, but I use the
multi ply cotton wicks (don't remember which ply count). I've used both those and the regular cotton ones and I find the multi-ply gives a better flame. I use the whole wick, doubling up the top by folding it over before putting it in the tube. That give it a much nicer flame IMO.
The quality of the oil definitely matters. I've been using the 'Chanukkah' oil, but I'm thinking of trying out the supermarket extra virgin olive oil when I run ou.