Back in Newton, Iowa, where Murray grew up, he and some pals once got in trouble with the law during their high school days for burning a cross. I don't recall where they burned it; I'm not sure there *were* any black families living in Newton in those days. Nowadays, as I recall, Murray protests that at 17 he didn't even know what cross-burning meant, symbolically speaking.
The episode has come up twice in media accounts that I know of. Phil Donahue brought it up in interviewing on his show after The Bell Curve came out, and it's mentioned in Jason DeParle's 1994 (?) NYT Magazine profile of Murray.