Off the top of my head..... which is how it would be in the real world.
1. Declare MAYDAY (obviously) - lets ATC know to get everyone else out of the way.
2. Are you familiar with field / local obstacles. Would there be a problem with just turning downwind and climbing to 2000'agl? (Other than potential traffic conflicts). With no radar available there are possible problems with following an EOSID and then trying to get yourself back into a position to make an approach - of course if you HAVE to follow an EOSID due to terrain you have no choice.
3. Use your nav display / navaids to position yourself for a base leg and fly the ILS. It has to be done urgently BUT you don't want to rush it so you end up fast/high etc.
4. Whilst all this is going on, a quick PA to the effect that we are making an immediate return to land and a quick ding dong to the No1 to get them to make a quick sweep for secure cabin.
5. With WX at minima and a burning engine/wing .... are you going to go around at minima? Could be argued that if you do it may be your last act of aviating....if you don't - likewise
OK. That took me more time to think about and type than you would probably have in the real event........ a fire is an unknown quantity and an unextinguishable fire is a nightmare...you just don't know what's going on out on that wing.
Bottom line, you have to get it on the ground ASAP but don't rush to the extent that you put yourself in a position from which a landing is impossible.
Remember, a Commander may deviate from standard practice if in his opinion it is necessary to protect the immediate safety of the aircraft and passengers. Perhaps this scenario is one of the few where it really applies?
Good Luck.
A4