Steel Wool Photography is using long exposures to capture the motion of hot embers flying through the air through the act of spinning burning steel wool.  These embers are so hot that they glow very brightly, and as they fly through the air the camera sensor captures the streaks of light created. 

Shutter speed is probably the most important aspect of the shot.  Capture enough of the movement to show the streaking lights caused by the flying sparks. Choose an aperture that keeps the entire scene in focus. Keeping your ISO low will keep you from blowing out the brightness of the steel wool when it is lit.