Clay
From PyroGuide
Formula: Mixture with variable composition.
Description: Different types of clay are used for nozzles, plugs or filler. Of all the types of clay in use bentonite and kaolin are probably the most common. Ground kitty litter is a cheap alternative and works well. Because clay is a very important in making fireworks it is listed in the Beginners’ pages.
Hazards: Clay is not particularly toxic or dangerous, but bentonite has shown to case cancer in animals but the evidence is unclear.
Sources: As mentioned, kitty litter can be a cheap source of clay. A cheap variety of non-clumping kitty litter can be ground (mortar and pestle or ball mill) and sieved to obtain a fine powder which is easily pressed into a compact pellet. Bentonite and kaolin clay are also available from ceramic supply stores.