A couple of things that I have used. A pre-drawn line drawn with a graphite pencil, or patterned onto your design using a laser printed line and a patterning bit/heat bit, or a household iron gives you a line to follow and goes will with tracing skill.
As iceman said metal will draw heat from the tip and wood will burn, but if you raise a small metal bar up so it is touching the pyro-pen shaft above the tip it doesn't cool the tip and can act as a guide, raised up and clamped on two short wooden blocks, can give a good mount.
And of course remember it's easier to draw a straight line if you're drawing it diagonally towards your dominant hands side (motor neuron theory) rather than drawing one across or straight down from your bodies perspective. So rotating the piece to the right angle can help.