It’s a metaphor to break through fear. Walking on a bed of hot coals without getting burned is possible. Even though it requires a professional setup (do not try this at home), it requires nearly nothing from a person who is willing to give it a try.
Preparing for the walk is mainly about mental preparation against the fear of potential burning and injury. Following instructions makes it necessary to avoid the unexpected, especially towards the end of the walk. After all, the hot coals are real, and so is burning.
Two things to learn from this:
When we are determined to change, the determination alone beats the odds and makes what seems impossible possible.
Some things are better done with a group. Learning about our emotions is one, walking on the burning coals is another.