Pro — powdered aluminum + iron oxide can reach a temperature of 2862°C / 5183°F. Having that much heat available in a relatively safe-to-store format is really nice.
Pro — "Shelf life is indefinite if stored properly". It really can not ignite until all three pieces are combined (Al + Fe2O3 + Mg), so storing them separately should keep things safe. Magnesium is pretty difficult to accidentally ignite. The more finely-powdered the aluminum is, the more of a fire hazard it is by itself.
Con — It tends to spit molten blobs in the surrounding area. It's important to maintain a safe distance.
Con — While it is sometimes used for welding, it's a pretty uncontrollable reaction, in terms of hitting a specific temperature, holding the temp there, and then using it to accomplish some task.
Con — As far as I know, it's difficult to have a very small reaction, it seems like these are usually minimum 50 mL. (but that's just based on observation of patterns; I don't know if that's a hard minimum, or if it can be worked around)
The most common mixture used is:
It should be mixed in the ratio of one part aluminium to three parts iron(III) oxide, by weight.
Advice for grinding aluminum in a ball mill.
Possible ways to slow the reaction down: Use larger particle sizes. Adding iron or steel will make it burn less hot, as energy gets used up in melting this metal.