After some searching on here, it seems a lot of people get metal filings using acetone and old tapes. Others "can" go into a shop and ask for filings, but chances are they aren't that fine to begin with and might be "dirty". I'll show you how to do it yourself with a chunk of iron, steel, basically any chunk of metal that you have that is magnetic.
Also, I apologize for the poor pictures as all I have is a web cam that's probably around the 0.7mp mark. I did have a 2mp digital olympus digital camera, but it decided to stop working. If anyone would be willing to give me a old digital camera or something (2mp seems like old tech to people these days but it works for me >_<).
Step 1: Gather Your Killing, Err Regular Tools
Well, I'm sure this could be done with a file, but dremeling would result in much finer and more filings.
What you need to start:
1xStone cut off disk
1xScrap of metal you want to use
1xContainer to collect the filings
1xMagnet to play with it afterwords
And perhaps some eyewear so you don't get nast things in your eys. Also, I happen to have one of these "rainbow vac" vacumm cleaners/air filter. For those who don't know what this thing is, it is basically a "water" vacumm that uses water instead of regualr paper or bagless cups to collect the dust/dirt. It is also designed to run without the hose to filter the air. So in short words, it's a 2300 watt vacumm (not kidding, says right on the spec sheet) and I sat infront of it while doing this. You will find it hand to have a vacumm or something as there is a lot of dust/fumes and isn't too good for your cloths/lungs and or eyes.
Step 2: Get at It, and Please Don't Cut Your Finger Off, Even If It Is Tempting
What you want to do is re-arrange yourself so that the wheel is spinning forwards (away from you) and the sparks/filings will go into the container if you hold it over top of it. Don't hold it 10 inches above the container, but rather, an inch or less, but whatever you are comforable with. If you hold it higher up, the filings will go all over and make a mess. So what you want to do, is instead of moving the dremel along the axis the wheel is turning, like you were going to cut it in half, go up and down, don't push too hard either. Continue this till you have a load of shavings in your container. It may take some time too depending on your metal of choice. I was interuppted when I was doing it, and hence I don't have very much in the cylindrical tube show in the beggining picture.
Step 3: Play With It, Make Ferrofluid
Take your large container and use a funnel, or as I did, a measuring cup, pour it into the funnel into your container of choice, or just play around with it in the container you collected it in. But I chose to put it in a seperate container as there was a lot of rust dust in the container I colllected it in and didn't want to be stiring it up. Enjoy