Some points to consider before trying this:

• Since you're not trying to damage anyone, you need to have something that will burn at a temperature that's low enough to be moderately easily controlled. The people who I have seen play with fire generally use large cotton balls soaked in some kind of alcohol -- the alcohol burns at a low temperature, leaving the balls unharmed.
• Hair burns at a much lower temperature than skin.
• Other information contained in the node firewalking may be useful as well.
• I do NOT recommend this for anyone who does NOT absolutely, implicitly trust the person who they're doing it with. (This goes for both the burner and the burned.)

Also note that if you're looking to do a demonstration of fireplay in a public area, you may have problems due to zoning regulations -- some buildings are licensed for exhibitions that do not involve open flame.

Node Quest: Kinky