I've built several flamenfressers and, in each case, used aluminum with integral cooling fins for the cylinders and stainless steel for the pistons. I've never seen a water jacket on a flame eater although I did build a Ringbom engine that uses one.
They're tricky to get running. If the cylinder is cool (as when first trying to get running), the hot gas will lose its heat too quickly after it's "ingested" and there won't be sufficient vacuum when the valve closes completely. I get around this by using the alcohol lamp to preheat the cylinder before trying to start the engine.
Flame position is critical. Ideally you want the hot gas near the top of the flame to enter the cylinder.
Keep trying; these engines are finicky but great fun when you finally get them to work.
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