My transfomer says "O/P 9v .2A" what does that mean?
That's the general idea, continuous output currents above 200 mA could make the transformer burn.

The problem with a transformer is the inherent resistance of the wire in its windings, getting hot in accordance with I2R. Getting the transformer too hot will damage the insulation, even if it doesn't catch fire. Obviously the exact temperature it reaches for any given output current depends on the ambient temperature.

You'll find that the output voltage will be sagging excessively above that sort of output current as well, again due to the winding resistance. This effect is (substantially) independent of the ambient temperature. That '9 V' output rating is likely to be an 'on load' value measured at 200 mA output current, the output voltage could be substantially higher off load.

As it's temperature that kills transformers, this means that if you can tolerate the reduction in output voltage, and draw current only intermittently to prevent excessive temperature rise, you can exceed the rated current for short bursts.