I'm guessing it's real fire and not some CG work... probably fancy pyrotechnics and flame-retardant clothing. (I mean, isn't it a little convenient that they're right next to the ocean? Just in case something goes horribly wrong?)
I bet that if you had various tinted lights, you could pose while holding or suspending them and CG the flames into the photos. That's been my idea. Much less risky that way.
I once heard this one suggestion that you can cover your hand in lighter fluid and have some water readily available next to you. When you light your hand on fire, the lighter fluid should be what's burning, not your hand.
And yes, this is a crazy, suicidal suggestion and I DO NOT recommend that you try this.
Current and Future Projects
Cherry Blossom Festival 2010: Youmu Konpaku (Touhou Project)
Fanime 2010: Advocat (GrimGrimoire), Lilith (Vanguard Princess), Shinki (Touhou Project)
Anime Expo 2010: Kamui Tokinomiya (Arcana Heart), Juri Han (Super Street Fighter IV)