On a smaller scale, you can dip your
thumb into a bottle of
rubbing alcohol (also known as
isopropanol or
isopropyl alcohol), shake the bottle, remove your thumb, and then light it.
The alcohol is very volatile, meaning the liquid evaporates quickly. So quick, in fact, that the flames are burning the alcohol vapors, not the liquid, and the evaporation is cooling your skin.
The flame is small enough that when you DO feel the heat, you can blow out your thumb like a candle.
Do NOT try ethyl alcohol, as it burns much hotter. Weaker isopropyl varieties (less than 70% by volume concentration) will not burn very well.