The Avnei Nezer 2:500 quotes several opinions that state that one needs to have the candles lit in some sort of kli (vessel) and not just stuck onto a table. (h/t: DoubleAA) R. Shmuel Kamenetsky (Kovetz Hil. Chanukah pg. 29) also writes that one should be careful to use a kli, even if one is using wax candles that can stand by themselves.
However, R. Hershel Schachter (Nefesh Harav pg. 226) quotes that R. J.B. Soloveitchik would make fun of those who were machmir regarding this issue, saying that there's no reason to require a kli.
For further discussion: http://www.yutorah.org/lectures/lecture.cfm/823353/Rabbi_Aryeh_Lebowitz/Is_a_Menorah_Necessary_for_Ner_Chanukah