According to various sources around the internet, thermite is composed of aluminum powder and iron (III) oxide. Apparently getting iron (III) oxide is very important, as that's the only one that will burn.
The activation energy of thermite is so hight at you need something like a magnesium strip to light it. So take your little can of thermite, stick a strip of magnesium in it, and light with a blowtorch.
Remember, this stuff burns at around 3000K. And it burns for quite some time. So assume that this stuff will burn straight down for quite some time; any pipes or conduit underneath you will be burned through as this stuff sinks through the ground.
God bless Chemistry.
[EDIT] Oh cool, you can buy both of these compounds online. A pound of both is about $20 or so at
www.skylighter.com, but you have to be 21 to buy aluminum powder.[/EDIT]
Good thing I am...