Is a burning sensation a side effect of Zoloft?

Boy, you've got a lot going on, don't you? What you're describing may be what's called paresthesia which is the feeling of tingling, burning, numbness, or “pins and needles.” in the chest, arms, legs, hands, or feet. It can also cause these sensations on your head and neck. It's common and affects about 1-10 users of the medication. It should go away quickly.

Most people have to take the medication for 6-8 weeks for it to become fully effective and anxiety sometimes takes a bit longer. You should be feeling some improvements by now... maybe not a major difference but definitely better.

Your dosage is going to depend on your clinical response and your tolerance. It's good you're starting off with a very low dose and increasing it by very small increments. You may find a low dose works for you but the usual dosage is 50-200mg/day. Everybody responds differently.

One thing you really have to do is not let your anxiety get you sidetracked thinking it's not going to work or there will be problems. That doesn't help at all. Try to stay positive and work with the Zoloft.
If you have further concerns along the way you can always ask more questions here.