The coal itself may be very hot but it will not transfer that heat to something touching it. The coals are a very uneven surface, and the actual surface area of foot touching the coals is very small. Hence the conduction of heat is even slower. Wood coals have a very low heat capacity, so although they are very hot there is actually not much heat energy to be transferred to the foot. Firewalkers do not spend very much time on the coals, and they keep moving.
Blood is a good conductor of heat.
What heat does get through is quickly conducted away from the soles of the feet. The water vaporises, creating a barrier of steam between the hot and cold objects. Hence the two objects do not actually touch and evaporation from the cold object is much slower than might otherwise be expected. Since steam is a relatively poor conductor of heat the foot does not get burned. Other scientists believe that the Leidenfrost effect is unimportant in firewalking.