It is possible to mix a burnt sienna hue using a yellow and a red to make an orange, then adding ultramarine to create a neutralised warm brown. But it is much quicker to use a single pigment paint.
There are a number of options. Burnt Sienna should be made from PBr7 - a natural earth pigment that is also used to make Burnt Umber, Raw Umber and Raw Sienna. Heating the Raw Sienna pigment creates the burnt Sienna. Some companies use PR101, (which is also used to make Indian and Venetian reds) to make a Burnt Sienna Hue.
My preference is for the earthy look of PBr7. Mixed with Ultramarine it creates a warm Indigo, burnt umber hues, lovely greys, stormy sky colours, shadow colours and so on. With a yellow it creates raw sienna hues. With a phthalo blue it creates cool greys and browns. With a crimson it creates earthy indian reds and burnt reds...and so on.
So which is the best? That depends what you like to paint, whether you like granulation or not, whether you want a more orange colour or a more neutral burnt orange colour.
It is clear the options range from an orange through to more red-based browns with more or less granulation. Transparent Red Oxide provides a wonderfully granulating version with a definite orange hue, Hematite Burnt Scarlet is also highly granulating with wonderful colour range. Quinacridone Burnt Orange goes all the way to the orange side so will not neutralise so well, but is quite a popular option for those who don't like granulation, as is the W&N Burnt Sienna (hue).
|Burnt Sienna mixed with blues - Ultramarine, Phthalo Blue, Cerulean.|
Here is Burnt Sienna with Cerulean. Note that Burnt Sienna creates wonderful greys with Cerulean but with that with Quinacridone Burnt Orange it makes greens rather than greys.
|Burnt Sienna and Quinacridone Burnt Orange + Cerulean.|
You can see Burnt Sienna and Phthalo blue on the second line below. Since Phthalo blue is cooler than Ultramarine it will create cooler blues and greys, including creating a raw umber hue.
|Phthalo Blue mixed with a range of brown pigments - Burnt Umber, Raw Umber, Burnt Sienna, Indian Red, Raw Sienna and Burnt Umber.|
My favourite is Daniel Smith for a rich earthy version, or Da Vinci for an equally rich earthy but slightly more orange version. Both of these are PBr7. I also love Transparent Red Oxide for special effects so have that in my palette as well as the DS Burnt Sienna.