No—candles and ordinary lamps are not bright enough to damage your sensor under normal photography. You do not need a special protective filter for them, and adding a filter can sometimes cause unwanted reflections or ghosting around bright points of light.

The sun is a different case. Pointing a camera directly at the sun—especially with a long lens or long exposure—can be dangerous to both the sensor and your eyes. For solar photography, you need a proper solar filter designed for that purpose; a standard neutral density filter is not necessarily safe because it may not block enough infrared and other radiation.

A practical rule: if a light source is comfortable to look at with your eyes, it is generally safe for the camera. Candles, lamps, and brief sparks/arcs are typically fine, though exposure settings may need adjustment to avoid blown highlights.