David G. Willey: Physics Behind Four Amazing Demonstrations (Skeptical Inquirer November 1999):
Dipping one's fingers in molten lead is usually cited as being an example of the Leidenfrost effect in action. However, it is not quite the same situation as when a drop of water is lifted up and hence somewhat insulated from a very hot skillet by the steam formed beneath it. Before dipping one's fingers in molten lead, the hand is dipped in a bowl of water. Then the drops are shaken off and the hand dipped quickly in and out of the lead. I usually dip the first seven or eight centimeters of my fingers. Heat from the lead goes into evaporating the water and hence not into burning the hand, and the resulting steam layer insulates the hand.