The key to sky lanterns is that it must be very calm. Then they work well and definitely burn out before coming back down (the flame of course is what keeps them up). If it's too breezy, they tip. The greatest danger is that if you release them too soon, before the air is really hot inside, or if the wind is taking them in the wrong direction, they may get caught in a tree instead of rising up and then WILL set that tree on fire if it's dry.

I've used these from various vendors for a number of years at fireworks events, and have never seen them without a wire frame to hold the burning wax-impregnated fuel pad. But the wire is thin and cheap, and probably rusts away quite rapidly.

Absolutely the best way to light them is with a propane torch, which lets you both fill the lantern with hot air and get the fuel pad burning completely right away.