I've never heard of anybody burning their scalp while getting dreads. Considering that you don't really have standard afro-textured hair, it'll be more difficult for you to get started. However, there's no reason for you use chemicals at all, and the ones that you could use probably won't burn you. As for baldness, a bit of searching found that if your dreads are too tight, the strain can make them fall out, but that can probably be avoided.
Honestly, google is your friend here. Good luck.
http://lmgtfy.com/?q=how+do+i+get+dreadlocks 
