The ammount of heat generated by a candle lantern is probably insufficient to justify the risk, and there absolutely is a fire risk. Lanterns fall over, they spill, they break. It's very easy for a candle lantern to become an open flame.
There are wiser ways to generate extra heat than a candle lantern: More or better clothes; sleeping in a hat and gloves; a liner for your your sleeping bag; a better sleeping bag altogether; a thicker mattress all come to mind. And a tent will always be warmer than a tarp or hammock.