My first aid handbook (Canadian Red Cross: First Aid, The Vital Link, Second ed., 2001 p. 173) states:
"If you find a tick, remove it with tweezers, grasping it as close to the skin as possible and pulling slowly...Do not try to burn the tick off, do not coat it with petroleum jelly or nail polish, and do not prick it with a pin."
The reason being that when you cause trauma or stress to the tick it will spew this toxic stuff and if attached to the dog the toxin will be under the skin. As you can well imagine that is not a pleasant thought. I imagine it could lead to a sore nasty infection. Tweezers have always worked well for us.
Tamara