Yes! The sentence has a literal meaning (i.e. that you have really been burned) or - as you say - a figurative meaning that you have had a bad experience. In a figurative sense it's most often used to back up a sentence where you say you are not going to do something again because you had a bad time the first time round, e.g. "I'm not going to get married again, I've been burned before" "I'm not going to buy a xxx from yyy, I've been burned before"

More accurately, you had been HURT before; usually to mean something bad had happened.

Meaning/Usage: To get screwed; to get a bad deal; to be tricked Explanation: When you are burned, it hurts. When you are screwed, get a bad deal, or get cheated, that hurts too. So it became common to use "burned" in this manner. source: http://ru.talkenglish.com/lessondetails.aspx?ALID=1092