I red an article about ancient and medieval slingers throwing incendiary grenades. I was wondering what kind of substances they used at that time to make such ammo and how efficient were they ?

I'd suspect that the incendiary grenades (depending on region) were packed with a light crude oil/petroleum, which in addition to the longer-chain less flammable hydrocarbons also contains plenty of light hydrocarbon fractions and dissolved flammable gases which would improve ignition properties.

Years ago I collected some Illinois crude oil (not as light and sweet as what the byzantines/arabs would have likely had access to) and put it in a 40oz beer bottle (made to withstand pressure) and came out to the garage one day to see that the bottle had exploded from the pressure of the formerly dissolved gases in the oil, with the petroleum and glass shards splattered everywhere. I relate that anecdote just to illustrate that the plentiful short-chain gases in the raw oil would likely greatly enhance ignition.

Here are some pictures of the pottery "Greek Fire Grenades" (molotov cocktails more likely) that would likely have been thrown with staff slings or light catapults when the distance of the enemy necessitated it:

Do you remember the name of the video or have the link? Sounds pretty awesome

Here you go: https://youtu.be/MhdBdLz6s5M?t=4m37s

Any hot material can be used, as long as it fits in the pouch. When fighting the  natives, the Spanish mention them using hot rocks, which they wrapped in cotton. They would sling them and the air would make the cotton burst into flames.
  Also, in 1521, Olaus Magnus mentions a battle between the Danish and Native Finns. The Finns would put small pieces of iron and heat them to red hot. After that, they would sling them. Many of these got caught in the armor of the men, creating horrible wounds. The Danish lost the battle.