You're thinking of sticks of incense, but frankincense and myrrh are resins and have to be burned on coal. Coal will start a fire. There are of course f & m "scented" sticks which are dipped in essential oil at best, or ethyl esters (likely if they don't specifically say essential oils). The problem with those is that essential oils typically don't smell anything like the source material, there are different species of trees that produce f& m and they mostly won't specify which, and most of the incense sticks are made by Jeets, and I don't trust Jeets.
I burnt some on a pine 2x4. The incense burned on the wood without any problems. It took me directly hitting the wood with my torch to get the wood to start burning and it went out within 10 seconds. A torch is a lot hotter than incense coals.
I burn my incense in a little ceramic cup though. If you do burn on wood, probably a good idea to keep an eye on it regardless.
Not trying to burn my place down. Putting coals on wood and not expecting fire is retarded.
I'll go burn some on some wood and report back lol. It's been very dry around here.
I burn my incense in a little ceramic cup though. If you do burn on wood, probably a good idea to keep an eye on it regardless.