The halacha as codified in Shulchan Aruch Orach Chaim 673:2 is that if your Chanukah candles go out before the time period of their burning has elapsed, you do not need to relight them.
The Rashba was asked (Responsa 1:539) about if you inadvertently cause your lights to go out while trying to fix them, and responded that you still do not need to relight them.
What if someone wants to save themselves some oil expense, and intentionally puts out their own candles? Would they then have to relight them, or would the same thing apply?