I also love teasing my mon with the Puffs. I like to toss them straight up in the air and try to catch them as they come down.
Your hand can get more than just burned- it can get frozen and electrocuted too. I know that touching Amaura's or Aurorus's ice crystals will freeze the hand, and touching Pikachu's cheeks will shock it. (the shocking probably also works for other electric-cheek mon, but I haven't tried it)
also, if you rub the stylus in circles next to your mon, they will watch it and sometimes try to swipe at your hand. then, if you grab them as they swipe, they will get all happy and cute