I go to Granite Falls often with my sims but really only use the campfire to complete the aspiration.. cooking beetles. Every now and then my sim gets singed when tossing a log on the fire and I think a few times when attempting to cook. Usually it happens more with low cooking skill.
I have heard some horror stories about weenie roasts though :D, have to have one of those sooner or later.
I did just realize I usually use the more expensive campfire... I'm sure it makes a difference. Just like the cheapest grill is more apt to catch on fire.