Preheat the oven at 200 degrees Celsius for 10 minutes.
Put the wheat flour in a mixing bowl. Add water slowly and knead the flour to a tight dough.
Pinch out 5 equal portions of the dough. Shape each portion into a ball using your palms. Into each ball, insert your thumb to make a hole.
Now start flattening and pinching the sides to turn it into a diya. Make one end pointed to hold the wick.
Make all the diyas in a similar manner.
Place all the diyas on a baking tray lined with aluminium foil and bake at 200 degrees Celsius for 20 minutes.
Let the diyas cool down completely. You can now paint them with regular paints or leave them as they are for a more earthy look.
Pour oil into each diya and place a cotton wick at the pointed edge.