I believe they generally use phosphorus as the incendiary material.
I've seen some interesting incendiary rounds at collectors' shows, including some WWI stuff designed for use on blimps/zeppelins. The bullets had a step in them kind of like a wadcutter, and phosphorus inside the core. I was told that the step was there to cut a circular hole in the vessel's skin, which would leak gas much faster than a ragged hole from normal FMJ ammo.