These lanterns are designed to stay alight even in very windy condtitions. Just what you need on a windy day, but it does mean that when you want to blow them out it can be tricky. If you keep huffing and puffing all that is likely to happen is that wax will splatter the glass.
The best technique to extinguish the flame is to us tongs to smother the candle with a small damp cloth. This should keep the glass clean and your hands safe. When it comes to relighting the candle, a taper or long match is easiest.