Since you can't extinguish it, what do you do with it so that it won't burn or damage anything?
I've seen people use a metal tray for this. (Sometimes the tray also holds the candlesticks, if there's any concern they could be knocked over.)
If the candles are votive-style, in glass holders, then you can just drop the match in on top of the candle. This is what I do in my sukkah, where I don't want to use taller tapers because of wind.
My dining-room table is close enough to my kitchen that if I'm careful I can walk over to the sink and drop the lit match in there, where it safely fizzles out on its own. That might not work for everybody.
A suggestion from DanF in a comment is to wet the other end of the match (the part you hold) before lighting, and the match will self-extinguish. (I have not tried this, but it makes sense.)