We personally don't recommend using squibs unless you have some professional experience with them. We've seen zealous (but misguided) filmmakers attempt to make their own with black powder or other home-grown explosives in a highly unsafe manner.
The following answer, provided by Jeffrey A. Brewer, President of Skyline Entertainment in Hartford CT, is a great tip for you squib builders out there.
"I made a film last summer and the script
called for squibs. We as well could'nt afford to buy them so we used duct
tape, baggies, molasses blood mix, and a high powered air compressor. Cut the
Baggies in the shape of your squib, tape them over with the duct tape leaving
a "window" of baggie exposed, hot glue a piece of tubing in the squib, (make
sure thier are no leaks) tape the squib under the clothing of your actor and
attach the hose. With a razor or exacto knife, score a slight slit in the
clothing. When you turn on the compressor the baggie fills with air and makes
the squib burst sending the blood mix out like a wound. It worked wonderfully
and looked great!"