As a kid we played with them down near an abandoned gravel pit. We made them out the old small 10 ounce pop bottles.
I'm pretty sure the statute of limitations has run on what my friends and I may or may not have occasionally done with beer and soda bottles, rags, and gasoline when we were in high school in a certain rocky overhang which may or may not really exist on a farm in a state which shall remain nameless.
My totally-unreliable recovered memories which are probably just dream fragments tell me you don't hold onto one long enough for it to heat up once you light it, overhand throwing works fine, you want to make sure they're tightly corked, and that the thrower doesn't have any gas on his hands. The advice offered by the DUmmies indicates to me that none of them have actually done it.
People who use them in protests and try to hit people (More common in the Orient than the Mid-east protests) should be shot.