Step 1: What do you need?
Masonry cement is a mixture of Portland cement and sand. It may also contain other components (admixtures) to provide a certain characteristic such as waterproofing agents, colors etc. In some cases you only need to add water to masonry cement mixtures.
Fireclay is usually (at least where I buy it) sold in 50lbs (about 23kg) plain packages and they don't even say "fireclay" on them. I get it from a place that exclusively sells masonry supplies for $8.00 (2002 prices). I've never been to a ceramics supply place so I can't say whether or not they sell it. Whip out your phone book and call if your wondering, in fact maybe I'll do that.
Another type of clay is Bentonite clay. I haven't been able to find any where I'm at. I've read that it's available from feed stores and farm supply places. Kitty litter is bentonite clay. But unless you have a big rock tumbler or ball mill I don't expect anyone to use this source. Anyone willing to grind enough kitty litter by hand is a much more patient person them me. I've tried using it whole but it didn't work, however I think I might know a way.
Step 2: What Else?
The reason it's so good for refractory formulas is because it doesn't conduct heat very well (heat doesn't pass through readily). A similar product is called "vermiculite" it's added to potting soil because it retains moisture. This quality makes it undesirable for refractory.