This is my method of making super fine metal powders for flash powder and other pyrotechnics. It's a very quick method and all you need is a file, a steel plate, and a flat steel bar. Flash powder made with this fine magnesium powder is extremely powerful. This method is very effective if you want small quantities but less effective when you need larger amounts.
You can clearly see the results in this video: http://www.youtube.com/watch?v=I0-itXJVvZI
Here is an example on flash powder made with sodium nitrate and magnesium milled to 1 micron:
Note: Fine powdered magnesium is extremely flammable and will form explosive mixtures with nitrates, chlorates, perchlorates, permanganates, sulfates, oxides, and carbonates. I am not responsible for anything you will do with this method!