The chance of fire is not limited to eBay CCFL angel eyes. Get a set of LED angel eyes, or just leave the damn things off.
As far as the OP, asking if you should keep a fire extinguisher and wanting to know exactly what part catches fire are two warning signs to take that stupid cheap **** off of your car. The advice you are asking for is idiotic from the beginning. Just remove them. You are driving a 325. Adding some lights is not going to make it any cooler, but it may make it burn up unnecessarily. They catch on fire because the ballast is cheap and produces too much heat, and they are wired in by monkeys who should leave their hood shut.