[BrianG]

When you hook the main leads together, you are effectively bypassing the resistor so all the current flows through the main leads. The only way the resistor would burn up is if the main leads became disconnected during use and all the current tried to flow through the resistor. However, there are a number of reasons why this won't happen with anything larger than ~50 ohms, but won't get into that here. If you were using something like a 1-5 ohm resistor, then yes, there exists a chance it could burn out, but again, only if the main leads became disconnected.