I think that, first off, it is hard to say exactly what you can do given this is not your child, and presumably you do not have final authority on how he is raised. Any solution must be implemented and approved by his parent first and foremost; even if you watch him alone for significant amounts of time, if at-home his parents don't have the same approach, it won't work.
That said, it sounds like you have several separate issues here. One is that he is finding things to do. Does he have enough to do? At eight, and particularly as a curious eight year old, he probably should be spending most of his time outside (at least in the spring/summer/fall months), and if inside should have a great deal of things to play with and interact with. Some kids (like myself) are book-centric; give me a dozen books and I'd be good for a week at that age. But some kids are not: they need physical and visual stimulation.
Maybe you have a lot of things for him to play with, but you don't have enough things that are appropriate for his preferences. You have trains and cars, but he likes dinosaurs and army men - or the reverse. Maybe he likes building things - or destroying built things; there are toys for both. Talk to him, find out what he likes doing, and make sure he has sufficient space and equipment to do that.
If he's interested in fire and burning things, you can satiate that as well. Teach him to cook. Get him a chemistry set. Sounds like he's into lockpicking and safecracking; there are some fun books on the subject (both doing it, and mystery/detective/thriller novels about it). Maybe cryptography- I liked that.
Second, there are clearly issues with boundaries and personal space. First off, make sure your collectibles are sufficiently secure that he can't easily get into them. Lock your door. Second, have a conversation with him about what his boundaries are. Talk to him about where he can and can't go, and why. My three year old son largely understands why he can't go in the basement alone, and never tries to - even when he's at his most misbehaving wild and crazy stage, which he definitely has. The only time he'd ever do it is to get my attention, he might go down one stair and laugh and tell me he's going - but he'd never go on his own. He knows why he can't (it's unfinished). He buys into his own safety.
On the other hand here, though, does the boy have his own space? Does he have areas that are safely his own? A common issue with being at someone else's house is not having a room to go to - even as an adult this is a problem with me when I'm staying at another's house; I feel uncomfortable. As an adult that manifests as irritation and avoidance of others from time to time; as an eight year old I could see it manifesting differently.
Third, how do you handle the situation when he does misbehave and does something unsafe or damaging? You either need a consistent and logical punishment, or (what I favor) natural consequences and helping him understand that he hurt you and how you feel, to encourage him to not do it on his own. By natural consequences I mean, if he breaks something, he has to clean it up and replace it. Don't yell at him, don't lock him in his room; make him fix the problem, and then consider it done.
Don't forget that telling a child he's naughty is a self fulfilling prophecy: a child who believes he's bad will act bad, because he thinks that's how he should act. This is really hard to avoid - my three year old, who we largely raise without any sort of punishments (based on natural consequences and very limited time outs when truly necessary, largely), still remembers the one time I told him he was acting wild, and tells me that he's wild fairly frequently.
Ultimately, the point of all of this: your nephew (or whatever you call the relationship... technically first cousin once removed I guess) is a human being, and you should treat him like one. Find out why he's acting this way by asking him, and solve the problem. This might not be easy - he probably doesn't entirely know why he is acting out - but go in with an analytic approach. Find out what his problems are, find out what he would be happy doing while he's over at your house (if outside is out of the question - and I'd really strongly suggest finding a way for it to be possible), and enable him to do that.
