An improved thermal lance is made of a low carbon steel sheath having an internal bore and a thin cylindrical rod that is roll-formed from low carbon steel sheet. The rod being sized for conforming fit in the bore of the sheath and has a length dimension that is longer than the length of the sheath. The rod is inserted into the bore of the sheath and allowed to move axially within the sheath under propulsion of the pressurized oxygen to allow the rod to be burned at a rate independent of the burn rate of the sheath. A thermal lance assembly using the improved lance also includes a magnet located near the bottom of the lance housing to keep the lance from moving during routine handling and storage.