Black powder is pretty easy to make... Potassium nitrate, charcoal, sulfur. The charcoal can be made out of wood (pinecones have worked well for me) and the sulfur isn't terribly necessary (essentially lowers the ignition point a bit - slightly faster burn, but not worth the extra money IMO)
Throw 'em in a ball mill with nonsparking media and you have yourself some airfloat black powder. Mix it with a bit of water so it's formable, pack it into whatever container you want, and you're good to go. Mix in different chemicals for different colors... powdered magnesium makes and extremely bright white flash
Or when you have the airfloat black powder, I hear a lot of people mix in about 10% motor oil by weight to slow the burn to a suitable fuel for rockets... haven't tried it myself though.