*DISCLAIMER*
This guide is for educational purposes only. I cannot be held responsible if some noob goes out and actually tries this.
/disclaimer

what you need:

1/2 cup sugar
1/2 cup potassium nitrate
empty, clean soup can
yarn soaked in wax
duct tape
very sharp cutting tool

Directions:

1.fill the can with the sugar and potassium nitrate.
2. insert yarn wick about 1 inch into the mixture, and cut off with about 8 inchs sticking out.
3. close and seal the can so that the wick is the only thing movable.
4. tape the wick in place with plenty of duct tape.

for best results, ignite the wick with a zippo lighter