Dry burning is when you pulse fire to burn gunk off of the coil. Some people dry burn everything, but personally, I only dry burn coils I have built myself. I don't have a lot of confidence in stock coils. In any case, if you are using flammable wicking material (like cotton), you will want to remove the wick prior to burning or it will fry.
I can't tell you which Kanger coils are better, there are too many things on the market right now for me to keep track.