Before the person walks through burning coal, the person will make sure their feet are very wet. When they start walking on the coal, the moisture will evaporate and form a protective gas layer underneath the person's feet.
You can see examples of this if you happen to drip some water on a hot stove or any hot surface. The water will easily glide around on top of a newly formed layer of air underneath it, like air hockey pucks on an air hockey table.
