Delete the rest of the body in the ‘model mask’ layer, leaving only the hand, then go Layer > Layer Styles, and select Color Overlay. Pick an orange, change the blending mode to Linear Dodge, and set the opacity to 88%. Use an orange for the colour and change the Blend Mode to Linear Dodge (Add). Change the layer’s blending mode to Color Dodge.
Add another layer on top of the others and name it ‘smoke’. Go to Filter > Render > Clouds. Again make sure you have black and white for the background and foreground colours. Change the blending mode to Color Dodge and with the Eraser tool (E) set to a big, soft brush, delete most of the areas of the layer, leaving only the part close to the arm that you’re going to set on fire.
Select Layer > New Fill Layer > Solid Color, then click on the layer to open the Layer Style dialog box. Select Gradient Overlay and change the blending mode to Overlay. For the colours, use orange and a very dark orange; set the style to Radial and keep the scale at 100%. Move the gradient so the lighter part is on top of the model’s hand.