Sulfur ointments are mostly use to treat skin disorders and not insect bites which I don't think is that serious yet.
I've seen in this article that sulphur is used for treating a condition called cradle cap among babies: http://www.livestrong.com/article/153742-uses-of-sulphur-ointment/
For precautions, use sulfur only as directed. Do not use it more often and do not use it for a longer period of time than recommended on the label, unless otherwise directed by your doctor.