Question: Should Yom Tov candles be lit in the Sukka over Sukkos?

Answer: 
Technically, yes. Candles should be lit on the Yom Tov or Shabbos table, or at the very least in the same room (unless there is a danger, such as young children who can get hurt). Succos would be no exception (barring any danger of course). Also, the Succah is meant to be like your home so everything important should ideally be done there (including, for example, davening, if you're not at shul).

I have seen many people who light in the Succah. One solution, which we do in our home, is to get special "outdoor" candles/candle holders that protect from the wind. They often use regular tea lights.

On YT, the candles can easily be moved, so they don't have to be left out there when no one is around (shabbos becomes more complicated and it wouldn't be safe to leave candles unattended in the Succah).
Oh, goodness, I would say no. Please, please CYLFC (Consult Your Local Fire Chief) before doing anything risky with candles!