Making your own incense - a few tips
Charcoal blocks
There are two basic ways of burning incense - either you use combustible incense, that is, stuff that can burn by itself, such as incense sticks or cones. Or you use non-combustible incense, which can be basically anything that gives off smell when placed on hot charcoal or thrown into a fire.
Most people who want to mix their own incense use self-igniting charcoal-blocks. These are small, round bricks that sparkle when you light them (due to added saltpeter). They get VERY hot, and you put on whatever resins or herbs you want to. I used them myself for years, as I didn't know any alternative; however, there ARE alternatives.
Why don't I like the self-igniting blocks? First, they smell bad. In fact, they stink when you light them. Secondly, it's very difficult to control the amount of incense you put on. Because the blocks get so hot, the incense burns very fast, and you get huge amounts of smoke. Although this is fine for some purposes, like invoking spirits, or for outdoor rituals, it is generally not so nice to have your apartment filled with smoke, and neighbors banging on the door asking if there is a fire. Also, you have to keep adding incense to the blocks. Though you get a lot of smoke, it doesn't last very long, so for meditation purposes it's useless.
There are other charcoal blocks available for incense burning - try the japanies bamboo charcoal blocks. They don't contain saltpeter and don't stink. They also do not get as hot as the other ones. They are not so easily obtainable, though. They look like this:
Homemade sticks and cones
Why not try making your own sticks and cones? It's easy! Just stick to the basic rules:
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Only use finely powdered ingredients. Sieve everything to make sure there are no big pieces in there. Big pieces makes extruding (see below) impossible and the sticks/cones won't burn.
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If you make cones, make them small - or they won't burn. Compare with the sizes of industrial cones.
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Be aware of the burning properties of the stuff you put in there. Some resins inhibit the burning (such as myrrh) and other materials promote it (such as cloves).
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You actually need very little smelly stuff (such as resins) compared to base. 10-20% is a good measure.
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As base, use either 1) makko, 2) wood powder + gum tragacanth, 3) powdered charcoal + gum tragacanth. The tragacanth glues your incense together. Makko contains in itself a sticky substance, so you don't have to add the tragacanth. If you use tragacanth, you can add a little bit to your final incense mixture before adding water. Or you can add the tragacanth to water, and then add this gluish gel to your incense mix.
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Mix your base with yummie-smelling resins and herbs of your choice. Make sure everything is evenly distributed. Add a bit of warm water, just enough to make it all stick together. Knead this like a bread dough.
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Make little cones and dry them on baking paper for a day or two, OR
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Make sticks using an extruder:

The extruder is actually a modified clay gun. These can be bought at hobby shops. Add a cut-off plastic tip - there is your extruder!