The best sources for magnesium are sacrificial anodes. These find use in water cylinders, and general rust prevention. Aluminum is found easily as scrap which can be melted down. Magnalium can be made at home, but it is best to become familiar with molten metals, so prior experience with aluminum(or other foundry work)is recommended. Plan well and prepare yourself for working with molten metals that may ignite if you plan to make it at home. If the metal ignites expect it to burn very brightly and hot. Explosions will not occur if you restrict production batches to under 600g, and if common sense is used. Do it outside and away from anything flammable. If it ignites, pour sand or dirt onto it. However, if it is overly large, it might be best to let it burn out. Never use water. A sand/dirt bed around the smelting area is a cheap and wise precaution, as molten MgAl will burn through asphalt and damage concrete. Don't look directly into the burning metal as it may damage your eyes. Start by melting aluminum in a steel can(baked bean size is preferrable).

The molten metal should be covered with a blanket of inert gas. In this case neither nitrogen nor carbon dioxide will function as an inert gas. It is not best to get a cylinder of argon gas at a welding supply store, as it wont be needed whatever way you look at it. It will be useless unless blanketing the MgAl inside the can(it will blow away on the ground)and it isnt cheap for the canister, or argon. You can use sulfur or charcoal, but these are usually not needed unless it starts burning out of control(which is shouldnt, because the oxide layer is generally thick, and there is scarcely enough oxygen in the can to allow further burning). Sulfur will make you MgAl smell like rotten eggs, along with causing a nasty flare up the first time it is applied. One pinch is all that is needed. The best choice is to keep powdered charcoal at hand, and to fashion a reusable lid for the can to stop oxygen getting in. The bottom of a larger can is useful for this, and can easily be reused.

Using an electric furnace for the melting is very convenient and allows good control over the temperature. Alternatively, a cheap charcoal chimeny or charcoal furnace with a steel can in it will work too(a can is best, as you can peel it away from the ingot when done, using tinsnips). Be careful if using a aluminum furnace, as having the can hotter than orange can cause cracks in the can, allowing molten MgAl to pour into the coals(once it has started leaking, you have little hope in stopping it, so take it out and place it into a pail of sand. Regulating the air flow on the charcoal is the best solution. To the molten aluminum, magnesium is added in solid form. The melt should be stirred from time to time. When all the magnesium has melted,the can is removed and the melt is allowed to solidify.

Once out of the furnace it is wise to sprinkle a layer of powdered charcoal on top of the melt to act as an inert blanket to stop oxygen meeting the melt. When cool, it is then easily crushed up in smaller chunks with an heavy hammer. These chunks are ground in a blender or coffee grinder. It can also be ball milled into a fine powder using steel media but this can be dangerous since the metal powder can become pyrophoric(if ball milled for overly long). Ceramic alumina media comes in handy here, as it does not spark.