I am trying to build, for the first time a drone, on a F330 frame, 30a ESC and 1000KV 2212 motors... But I destroyed 2 ESCs in the process. It literally burned up when the drone falled and the propeller get stuck, probably reaching the stall current. Is that normal (since as I already drones that caught on fire at crash) or is there a way to protect the ESC for this happening??
When buying ESCs make sure they have over-current protection, like Kevin said. This should limit the current to prevent damage. Also over-temperature protection is a good additional safety measure. Temperature protection can usually be configured in the configuration software for your ESC (e.g. BLHeli Configurator).
The most reliable way to prevent this type of damage, is to immediately disarm, when the quad gets stuck. If the ESCs are well protected the motors can still burn out from getting stalled, so disarming is the only safe bet.