1. First you need still air. Too much of a breeze will not allow your flaming balloon to rise properly.
2. Create campfire.
3. Take one sheet of newspaper, open fully, then bring the four corners together and twist them so that they hold together.
4. Twisted corners down, gently place your newspaper "balloon" on top of the campfire and let go.
If conditions are right your balloon will catch fire and slowly rise.
Kind of like this.