Incineration is definitely an option for destroying information. However, experience has shown that burning:

• Requires transporting your materials (is this done securely?)
• Needs a proper location that allows burning or an incineration facility (costly and maybe not secure)
• Requires patience and supervision for security
• Undertaken by an individual is usually very time consuming
• Can be dangerous
• In inclement weather, especially windy conditions, could cause a loss of documents
• Is not environmentally friendly