If the width and height of your embark are both at least 3, you're guaranteed to have at least one candy spire. Most of these are visible somewhere in the 3rd cavern level, but occasionally I've found one which isn't visible in the caverns at all. Breaching the magma sea can help to find the ones that are not visible in the caverns, since they will frequently be visible extending down through the magma. On extremely rare occasion, it might be possible to get one which is neither exposed to the magma sea nor the 3rd cavern. In that case, mapping the magma sea is still valuable, because it tells you where the spires aren't, and you can focus on the areas where there are solid pillars of stone all the way down to the bottom of the magma that might be hiding it. Note that I've never found one which wasn't exposed in either the 3rd cavern or the magma sea, but I have seen solid regions of stone large enough to hide one which extended all the way down through the magma sea.
So basically, reveal the entire 3rd cavern. If you still didn't find one, reveal the entire magma sea. If you still didn't find one, resort to exploratory mining in the places where stone goes all the way down through the magma. If your embark is at least 3 wide by at least 3 high, and you don't have any candy spires, either you're playing a game where candy has been removed or modded in some way, or something has gone wrong in your world generation and should probably be investigated as a bug.