There are many sources on the internet that advertise control of fungus, mites, or insects by burning sulfur. This results in sulfur dioxide gas, which can mix with moisture on plants to form an acid that can damage plant leaves. Breathing the gas can be harmful to human health. There are currently no sulfur products registered with the EPA that can be burned for plant protection.
See this factsheet from the national pesticide information center for more information.
For more on how to read labels when searching fro products registered for non-conventional uses, see this video on using sulfur for powdery mildew from Meg McGrath of Cornell University.