If I have just a little burning when I go to pea, could that be just a female candida problem, or must it always be a urine infection?

Either possible. It may be cystitis (bladder infection) which is very common in women, or any irritation of the labia, either from vaginitis (which may be due to candida), or sometimes external substances applied to the genetalia may do this. A quick visit to your family doctor should solve this.
Urinary burning. There are many potential causes of urinary burning. Urinary tract infections, vaginal yeast infections, and sexually transmitted diseases, such as chlamydia, gonorrhea or herpes, are common causes. Urinary burning will also occur if you experience damage or injury to any of the structures of the urinary tract, including the kidney, bladder, urethra or ureter. See your doctor for a diagnosis.