Should i scale each a bit bigger and put each cylinder on each other? -yepp.
And should i make the cylinders transparent so i can see through them? -indeed.
how to make a texture like that - http://www.turbosquid.com/FullPreview/Index.cfm/ID/227857 you'll have to create an alpha channel though. or http://www-jkn.ee.uec.ac.jp/tnklab/96/nakazawa/icons/texture/download/fire.gif just as an example.