This is not extremely dangerous, but there is a good chance you will get a few very minor burns if you aren't careful. The biggest concern is accidentally starting a fire because burning chunks of cardboard often come loose.
These torches are difficult to extinguish and easy to keep lit. They last 3-10 minutes. If it is smoking, it has a STRONG possibility of self-ignition. To kill it, unravel it or dip it in water.
This will make you smell terrible and put off a lot of smoke.
Step 1: Materials
tape/glue (any tape will work, but masking tape is best for a natural burn in this situation)
lighter and candle
I recommend a wide open environment and a bucket of water.