What are the dos and don'ts of using HMI lights?
For example, I've heard you're not supposed to "hot strike" them.
Is there anything else I should know about?
My only answer would be to follow the safety guidelines found at wikipedia:
HMI lamps can reach ignition voltages of up to 70,000 V when striking hot, and are considered very dangerous if miswired. It is good practice to strike the light from the ballast and not the head, in the event that there is a short circuit in the lamp head. Proper striking procedures should be followed as well, such as calling out a vocal warning whenever a light is turned on to warn persons in the area. Also, the header cable should be properly and securely connected (most header cables will twist and click into place).
In addition to these concerns, HMI lamps have been known to explode violently at the end of their lifetime or if stressed enough. While not as violent as the explosion of a xenon short-arc bulb, they still require caution. As a result, HMI lamps should not be used past half their rated lifetime, and care should be taken with larger lamps when striking (turning on the lamp), as a lamp is most likely to explode within the first five minutes of striking. Care should also be taken transporting the lamp and replacing lamps. The gasses in an HMI lamp are under pressure, which increases with temperature. Dropping the lamp could result in an explosion, sending hot quartz glass flying. As with quartz-halogen bulbs, care should be taken not to touch the glass directly as skin oils can attract heat and cause a weak point on the bulb. Most lamp housing designs are inherently tougher and thicker than traditional tungsten units so that in the event of a bulb explosion, those nearby are protected from flying debris. There is the possibility of the front lens element on the lamp head cracking from thermal shock. Proper safety procedures should be followed when using HMI units, as they can be quite dangerous if misused.