Pie pans actually work quiet well for smaller budgets, you just gotta be somewhat skilled with an exacto knife. They don't burn more than any other sorta gobo for the most part just because - think about, you put them in the oven at like 350+ degrees F anyway and it doesnt burst into flame or melt everywhere.
If you got the money, I'd suggest buying a custom one or something, but otherwise it works well.
EDIT: In fact, I just made a gobo out of a pie pan just the other day and I dropped it in a light today on our FOH cat. We're doing a talent show with no budget and I just projected another light on the wall beside the procenium and I just made a little "logo." I'm trying not to use it too much, as it is fragile - a bit more than a steel gobo - but it's fine, looks fairly professional (this depends on how skilled you are at making them lol) and was like - what - 50cents? Give it a try. If you're still worried about it burning just watch it for a while but you shouldn't have a problem unless you use some sort of tape or something to hold it together for w/e reason. Then the tape could catch fire.