You could scald yourself if your bathwater is too hot. To scald something is to burn it with hot liquid. However, if a recipe tells you to “scald the milk,” it means to heat it to the moment just before it boils.
The verb scald comes from the Late Latin word excaldare, meaning “bathe in hot water.” For example, if you scald a tomato in boiling water for one minute, it will be easy to peel. In medieval times, or any era when people protected their castles by pouring hot oil from the turrets, they scalded their enemies. Nice.