Playing around with model rockets this week. I found that you could use crepe paper (or even cellulose wall insulation) for recovery wadding, and that loctite at walmart was a decent substitute for plastic cement. There's also a link to make your own fire-resistant wadding here, but it looks like you have to pay for the content.
Also, while looking around, I found that someone even came up with a method of making homemade engines (also other sites here, here, and here - that last link also has info on homemade fireworks)! That's pretty cool, but I don't think I'm ready for it yet. Also a link for homemade igniters.
Anyway, I think the only part of that I'm brave enough to try is using crepe paper for recovery wadding, but the rest sure is interesting!