I haven't done it myself, but have watched somebody do it. It is pretty cool. The last guy in my group of friends that tried it lost their thumb though, so we stopped after that. OUCH!
Though I think the thumb is over-rated....I prefer the tallest one of the five to do my bidding. ;)
I've been doing serious fireworks for years now, and the only injury was when I cracked some ribs - I was running away after lighting off a set, tripped on wet grass, and fell on my side.