There is a big difference between a dry burn and heating the wire before wrapping a coil. A dry burn is a way to help remove the build-up on an already used coil. As others have posted, no torch is necessary and it's a straight-forward process. One point though, after a dry burn, a final rinse is advisable to remove anything left on the coil or on the wicks (if using silica)
Heating (some say annealing although I am not sure if this is the correct technical term) the wire before building a coil can be done with a lighter, candle, gas stove, or a torch. I always do this when using 32ga. kanthal as I find it way too springy to get a good micro coil build. 28 and 30ga kanthal seem to have less springiness, so it might not be necessary.
When I've built my coils, I always meter them out and then fire them up with no wicks to get them nice and hot - then give them a squeeze with needle-nose to get the coils even and tight. This helps to remove any hot spots. I suppose some might call this process a dry burn as well.