You don’t have to do this unless you are really nuts, I include this video of a hard drive destruction with thermite as a curiosity more than anything else.
If you need to wipe your hard disk completely I recommend you use DBAN which is free and open source and it will work for any operating system, DBAN works as a live CD and you only have to follow the instructions on the screen, it is really easy to use.
As hard disks get cheaper you may also consider to simply replace it, and use a handheld butane torch for melting the plates of the old hard disk containing the confidential data.
For those who don’t know, a thermite reaction is a process in which the correct mixture of metallic fuels are combined with a metal oxidizer and ignited. Ignition requires extremely high temperatures, but once ignited, thermite supplies its own source of oxygen.
Making thermite is also probably illegal as it could be used to build pretty powerful incendiary devices. The explosion you will see in the video was achieved with 1 pound of thermite in a clay flower pot and lighting from the drain hole in the bottom.