Is it customary to light a candle for the elevation of the souls of righteous individuals such as King David?

Hello and blessings, 

For Moshe Rabbeinu, it is customary to light a candle on the day of his yahrzeit, 7 Adar. 

For King David, the yahrzeit is on Shavuot, and one does not light then. However, one may light a candle for the elevation of their souls at any time. It is also possible to pray at the time of the lighting that, in their merit, we should be worthy of all blessings and salvations. Success, Binyamin Shmueli