This is something that comes up fairly frequently in survivor testimony, though we don't really know the prevalence of this. In survivor testimony it is described in three different circumstances, either as a form of pure torture, as something done because one person was not dead yet after being shot or gassed, or because the killers didn't want to "waste" gas or bullets. We know that however common or uncommon this practice was, it made a big impact on survivors. It comes up very frequently in testimonies, and we know that it was sometimes a tactic of revenge turned back on the Nazis. During the Sonderkommando Revolt in Auschwitz II Birkenau at least one Nazi guard was burned alive as a form of revenge, probably partially because this was something the sonderkommando had seen happen to Jews and some may have been forced to participate in such things. Like most specific forms of torture during the Holocaust, we rely primarily on survivor testimony, and so we don't have exact specifics of how, when, and why, this occurred, but given it's prevalence in survivor testimony, it was likely fairly widespread.