I can't see much of a hazard using a cotton wick and a low-grade fuel (fat, motor oil, the usual suspects). I doubt you could generate enough heat to crack the cheapest ceramic if you tried. The real challenge lies in managing the smoke.

Keep in mind that the oil used by the Inuit was high-grade stuff in comparison. Whale oil was the oil-from-the-sea that lit up much of Europe, back in the day.