fledy is broadly right, just a few minor points I want to make
Thermite is a very explosive mixture of aluminum powder and Iron (III) oxide.
Thermite is not explosive. An explosive is a compound where a shockwave goes through the material faster than the speed of sound. What thermite does is burn very hot. It is nothing more than a campfire but with the oxidiser contained in the mixture and burning a lot hotter. Also, it liberates molten iron as opposed to smoke but same principle.
WARNING! THIS EXPERIMENT IS VERY DANGEROUS. I'M NOT FUCKING KIDDING. ONCE THE THERMITE IS IGNITED, YOU CAN'T SMOLDER IT WITH ANYTHING!
This is unfortunately correct. Because thermite contains its own fuel, oxidiser and heat source (once its lit) it is near impossible to extinguish.
-Magnesium ribbon (alternatively, a 4th of July sparkler or firework thing will do. Basically, anything that can act as a fuse and gets hot enough)
Potassium permanganate and glycerin will also do the trick, won't blow out in wind and has a nice delay.
you could probably take some aluminum foil or a soda can and scrape some off with some sort of ROUGH file (Though be sure to clean the file thoroughly afterwards, or else you run the risk of a spontaneous thermite reaction taking place).
Given the ridiculous activation energy, you'd be hard pressed to ignite a thermite reaction on a mild steel file with binder coated aluminium (the aluminium will have probably been oxidised and coated to allow the ink for the cans design to stick)
A more effective way is to mix bleach with fine steel wool. The reaction is quick. Adding vineger after mixing the steel wool and bleach together in a 2:1 ratio greatly increases the reaction speed and rust is produced instantly however the vineger and bleach (even in the presence of iron) produces toxic chlorine gas. This should only be done outside or in a fume hood
No comment, I've had a few expeiences with toxic gases during my idiotic home experiments. please do it outside with a strong breeze, chlorine is not nice stuff. For a sample idea, find a bottle of strong ammonia (non scented). Open the top and cautiously waft some towards your nose. When you decide that you're tough enough to handle it, feel free to have a deep sniff from the bottle. When, 10 seconds later you can breathe again you will know what chlorine poisoning feels like.
(NOTE: STORING THERMITE IS DANGEROUS! If it ever ignites for some reason, the results could be dangerous. If you make the mixture, you should use it, not store it)
This is frankly rubbish. Thermite is about as safe as you can get. Seriously you should (theoretically) be able to jump in a fire with your pockets full of the stuff and the only damage you'll get is from the flames. Because of thermite's high activation energy, as long as its stored somewhere vaguely airtight it should be fine for months. Bear in mind what you need to set it off. Matches won't work, lighters won't work, blowtorches take a long time to work. It's almost certainly more dangerous keeping firelighters in your house compared to thermite in your garage. (This is no excuse for making or keeping thermite. It is nasty shit and will burn holes in damn near anything. Safe as it is, please be careful with it)