Walking on hot coals is all about timing. You need to basically haul ass across them and not keep your feet on them long enough to get through the ash to the red hot part. I saw a show where a guy who does it explained it. If you stall at all you get burned badly. The guy also had a lot of calluses.
Actually, the trick about walking across hot coals is they have to be "ashy". If the layer of ash isn't built up enough, then you'll get burned. So many people got burned because the organizer didn't wait long enough for the fire to burn down.