Can you make R-Candy without heating the propellant mix?
First of all, when it comes to something that may impact your future well-being in a bad way, do a thorough research on the topic. Wikipedia is a good starting point as it highlights the role of homogenization in the fuel–oxidizer mix preparation:

There are many different methods for preparation of a sugar-based rocket propellant. Dry compression does not require heating, only the grinding of the components and then packing into the motor. However, this method is not recommended for serious experimenting.[2] Dry heating does not actually melt the $\ce{KNO3},$ but it melts the sugar and then the $\ce{KNO3}$ grains become suspended in the sugar.

Heating assures homogenization and packing of the fuel–oxidizer mix to create constant burn rate. If you decide to heat the mix, it is imperative that you look up the properties of all components, especially melting points. For example, in the most common nitrate–sorbitol mix sorbitol (m.p. 95 °C) would act as a flux for potassium nitrate (m.p. 334 °C). Make sure you are using a well-functioning hot plate with a temperature controller and not open flames, otherwise the mix will ignite.
Make sure the powders are dry before you mix them. Otherwise trapped water inside molten sorbitol (remember, m.p. 95 °C and both sorbitol and nitrates are hygroscopic) will create steam pockets which may cause local explosion with the stuff dispersed around and potentially catching fire from the hot plate. Needless to say, the mix must be carefully stirred and slowly heated until fully homogenized; only then it can be poured into the firm template or the rocket body. The mix is going to be at about 150 °C and sticky, so wear heat-resisting protective gloves.
If a hot plate is not an option, you may opt out for the worse alternative of grinding the powders and pressing into shape. First, you have to produce fine powders of the fuel and oxidizer separately. Normally, separated sorbitol and potassium nitrates should not ignite because of friction, but work with small batches at a time regardless. Second, they must be thoroughly mixed and pressed to assure good contact between particles. Work with dry components in small quantities without producing too much dust flying around to prevent dust explosion.
General notes:

Work with small portions of materials at a time in a well-ventilated area using PPE.
Check your equipment thoroughly and make sure there are no sources of sparks and open flames nearby. Molten mix will ignite when overheated, and the dust is explosive.
Remaining water will quench burning due to its tremendous heat capacity and may cause unstable engine operation with a non-zero chance of explosion, so I'd avoid adding water at all regardless what preparation method you pick.