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Only wood actually burns, i think.
(C)onstructed things are everythingproof (constructed ice wall will hold magma etc). (Except a cave-in or a dwarf with a deconstruction order).
Most non-(C)onstructed materials won't actually "burn" but they will be destroyed by magma.
The list of magma immune items is fairly short, unfortunately. Your best bet will probably be using the stone type you find surrounding the magma to use in moving the magma around. As for containing it, as Kogut said, as long as it's (C)onstructed (specifically, not a building) then it's impossible for anything short of cave-ins or determined dwarfs with deconstructive designs to take it down.