There are a couple different ways lamp fires can start.
1. Dust/cobwebs. Cobwebs apparently burn and shaving dust can catch fire even more quickly than shavings.
Remedy: Turn off the lamp and periodically wipe it clean.
2. Shavings being kicked up on top of the lamp, catching fire, and falling back down into the box
Rememdy: Keep the lamp above the wire lid of the brooder, or, make sure it's not too low, or, check the lamp daily.
3. Falls. MOST lamp fires reportedly come from a lamp that has been knocked over into the bedding. My husband's second cousin lost her barn of goats due to a heat lamp being kicked over. It was a tragedy for them as you can imagine.
Remedy: Keep the lamp absolutely secured. Be confident that if you swung from it, it wouldn't fall down. Double tie it- just take those extra steps to prevent heartbreak.
I only used a heat lamp once-- I kept my chickies in the basement so they were well surrounded by concrete and cinderblock. Had their brooder caught fire, it would have been about as much as a roll of newspaper burning and my smoke alarm at the basement steps would have alerted me.
Funny story- there were a couple nights that the smoke alarm battery was low and so it went off at 1-2 am-- just ONE BEEP,...ONE FREAKISHLY LOUD BEEP and up I came. As you can imagine, knowing my heat lamp was running down there all night, I came flying out of bed and zoomed down to the basement.... to see my darlings all sleeping peacefully together. No smell of smoke... nothing. After several nights of my being woken up at 1am by the rebel alarm, we figured out a smoke alarm battery needed changed.