When talking with the other fireworks before the firework show begins, the Rocket uses a hyperbole to capture his sensitive nature, as seen in the following passage:
“I was saying,” continued the Rocket, “I was saying—What was I saying?”
“You were talking about yourself,” replied the Roman Candle.
“Of course; I knew I was discussing some interesting subject when I was so rudely interrupted. I hate rudeness and bad manners of every kind, for I am extremely sensitive. No one in the whole world is so sensitive as I am, I am quite sure of that.”
When the Rocket states that “no one in the whole world is so sensitive” as he is, he is using exaggerated language in order to make a point. It is impossible to know who is the most sensitive person (or firework) in the world, yet he says this so that his peers understand the extent of his emotional sensitivity.
It is notable, of course, that the Rocket is not very sensitive, as seen in his lack of attunement to the needs and feelings of others. In the beginning of this passage, for example, the Rocket turns the conversation back to himself, demonstrating his conceited nature and lack of self-awareness. This is one of the many times that Wilde demonstrates how arrogance prevents people from seeing reality clearly, especially when it comes to upper-class people who overestimate their importance.
