Poi heads can be made out of pretty much whatever you can think of: bright-colored balls, glowsticks, flags, and even socks filled with sand in a pinch.* I have a rather nice set of glow heads myself, but even though I've spun fire before I've never owned any burn heads. Some people use monkey's fist knots for their burn heads, but I wanted to go one better and use a turk's head knot.
Spinning fire is a lot of fun and isn't really as scary as a lot of people think, but it's still dangerous. Always make sure you have someone spotting you when spinning with fire and don't try any moves with fire that you haven't tried and gotten good at in (less incendiary) practice.
*Yes, I have done this. I was at the beach and used my shoelaces for strings. I recommend you remember to bring your poi with you, though, because a sock full of sand has another name: blackjack. It hurts when you whack yourself with these.