Here's how it works: there are two separate family candles, lit by each of the mothers, or fathers or both. The unity candle is a larger single candle that sits between them. The bride and groom hold their respective family's candle, and together light the wick of the unity candle before blowing out the family candles. This ritual usually takes place after vows are exchanged. You can buy these candles anywhere that caters to weddings.
It's fine to decide not to have a unity candle. While the symbolism is nice, some couples find them to be too sappy, or just another thing for them to remember to do.