When embroidering with Firefighter No.40, you need to be using a flame resistant/retardant backing with it. Madeira has Aramid Fibre Backing called Ezee Fire Fighter.
This is a highly flame-resistant embroidery backing for flame retardant protective clothing. A light, breathable, form-stable and tear-resistant special fabric combines maximum comfort with maximum safety.
Always make sure that stitching the fabric is permitted as its properties might be damaged by the embroidery. Beware of home testing as if you take a single strand of Fire Fighter thread from the cone and ignite it, the lubrication coating will burn off or carbonise very quickly. However, when in the form of surface embroidery, it will not ignite, melt or drip due to the Aramid content, providing ultimate protection for the wearer.