Y'know, it never would've occurred to me that steel wool could burn. It's steel! I understand that it will glow or whatever when voltage is applied. That's yer basic lightbulb. But burn? Wow. I have some #0000 steel wool I use for cleaning fretboards. I gotta go try something..
EDIT- Well, that was interesting. I smelled something oily as it burnt. I suspect the reason it burns is because it's treated with something to prevent rust. Also, after it went out, I tried to re-ignite it and it didn't work, making me think that once the coating was burnt off, now its just steel... Perhaps you can pack a muffler with this stuff? Maybe put the torch to it before installation to roast off the offending shmegma before it matters?