All CRAYOLA Crayons are made from paraffin wax and color pigment. The crayons vary slightly in weight due to the amount of color pigment added to produce a particular color as well as the density of the powder pigment itself. Certain color pigments are very light while other pigments are very dense. It would not be accurate, however, to say that all dark crayons are heavier than other colors. You can test this by doing an experiment to see which Crayola Crayons float and which will sink.
For information on other science experiments, be sure to visit http://www.crayola.com/colorcensus/science/index.cfm.