burn your fingers这句话的意思就是人要是在逆风的时候举着蜡烛走路，就一定会把手烧伤。真实含义是吃苦头；失败；吃亏上当。

【例句】
If you get involved in the controversy, you may burn your fingers.
要是你卷入这场争吵的话，你会吃苦头的。

As far as I know, many people burned their fingers when the stock market collapsed last month.
据我所知，上个月股市崩盘的时候，很多人都吃了大亏。