I suppose that, given the context in which he speaks this line, Montag probably means that they should not have been burning books. Instead, they should have been burning (probably figuratively) society.
He says this line after he has burned down his own house. He says it to Captain Beatty after Beatty has been taunting him about being a snob. Right after he says it, he kills Beatty by burning him. This, to me, implies that the right kind of burning is when you burn someone or something like Beatty that is part of the repressive society.
Early in Part Three of the novel, Montag utters this line to Captain Beatty when he is faced with the prospect of burning his own house and being taken into custody. While Montag's meaning is not made explicitly clear, there are a couple of ways to interpret this line.
Firstly, Montag may be passing judgement on his society. Instead of burning books (things which are "right"), he is advocating the burning of false sources of information and emotion, like the parlor walls and the Seashell radios.
Secondly, Montag may also be passing judgement on the firemen by suggesting that the firemen did not burn for the right reasons. In Montag's society, for example, all books are burned, regardless of the subject, and it is the firemen's responsibility to maintain this high level of censorship. The reason for book-burning is that entertainment is valued more highly than knowledge and Montag has come to realize that this is not a legitimate reason for book-burning, hence the belief that the firemen did not burn "right."