Burning live ammo is NOT necessarily a safe form of disposal.
At the same time, it is not nearly the same as igniting a round inside the chamber.
I have intentionally burned defective or damaged, but otherwise live, rounds in a burning pit on several occasions in both pistol and rifle calibers. (I'm not recommending this, especially for any ordinance larger than individual small arms rounds.)
Typically the result is that the brass separates from the lead with a loud pop and some force. Since there is no chamber/barrel/bolt to give direction to the energy release, the force is disipated in all directions. The brass (being lighter than the bullet) may take flight, or if the brass is somehow captured the bullet may travel a few feet, but not at a rate that would likely cause death. A nearby-stander could have their eye put out, or be mildly burned if contacted by the flying case or cinder.
Ivan_O, I'd recommend one of the following easy methods for disposal:
1) If they are not damaged or corroded...shoot them.
2) Take them to a local range and ask if they can dispose of them for you.
3) Find a local reloader. He will probably have a $14 bullet puller, and he can recycle the brass. (Or buy a bullet puller yourself.)
4) If the other methods fail, call your local PD and ask them what they recommend.
On a side note, this question comes up here from time to time. Please let us know what ends up working for you. Thanks. sab