Step 1: Safety first!
It goes without saying that safety is your number one priority. Don't spin lit up if you're not very confident in your own abilities, don't spin alone, don't spin when it's raining and slippery underfoot and NEVER EVER use petrol as a fuel. Personally I only use paraffin (kerosene in the USA) which is relatively safe both to burn and store. Make sure all long hair is tied back, fuel up well away from your performance area, spin off all excess fuel before lighting up, and wear only cotton clothing (or similar non-flammables: leather etc).
Simply put, I cannot stress enough quite how much of a danger the inexperienced firespinner can be to themselves and those around them. This is just a construction guide - while I'm happy to give pointers here and there I'm not going to take responsibility for your own stupidity.
That said, firespinning is a hell of a lot of fun. If you've been spinning glow-staves or broom handles and you're reasonably proficient then adding fire to your act may be just what you want to spice it up a little. Assuming you're still with me, I'm going to outline a fairly quick method of building a staff that will be safe and durable while not breaking the bank.