You don't make sulfur, as stated above. But it's also not just a 'mineral.' It's an element!
You can buy 95% pure sulfur for dusting crops, roses, &c. at your local garden shop. You can also buy bulk potassium nitrate (NPK designation 14-5-33, I think...) but you're probably likely to get flagged because the rubes (especially the ones at Homeland Security) don't know the difference between poassium nitrate and ammonium nitrate.
You can also make your own potassium nitrate, but it's tricky to get the purity you need and time consuming, not to mention expensive compared to just buying a 50 pound bag of the stuff.
Making charcoal is very simple. I prefer willow, but other hardwoods will work - Don't try to use the stuff that you burn in your grill! Bust up the willow into 6" long or so thin sticks and cook it in a vented retort (a crab cooker with a buncha holes knocked in it works well) over an open fire until it quits smoking. That's your cue that it's all converted to charcoal.
Milling the stuff is the best way to do it. Don't use the "wet" or precipitation methods because they don't work nearly as well. I've found a big rock tumbler with a handful of musketballs does a fine job of milling and mixing the ingredients. The proportions are about 65-25-10, but feel free to experiment... Once the stuff is milled you have what's called "green powder." You can use this, but I don't recommend it in a firearm. After this you have to "corn" the powder, which involves pressing it (a 3 ton bottle jack, some big bolts, and creative application of PVC pipe is recommended) and finally grind the pressed powder into the grain sizes you want.
Some sifting screens are helpful, here.
Words to the wise: Set up your mill to run outside, or at the very least in your garage. Don't use steel media (shot) in your mill, because it can spark. Stick with lead. Even if the mill does go up (I've never seen it happen) it won't cause too much damage with the negligible confinement of the plastic rock tumbler, but your wife probably won't be too happy about you smoking up the whole house for a week.
There are oodles of priming compounds out there but all of them are by nature highly unstable and not something you'd want to trifle with synthesizing until you have some good pyro experience under your belt. Commercial caps are lead azide, if I remember right. You can get away with Armstrong's Mix (red phosphorous and potassium chlorate, very dangerous to work with in quantity) or any number of other shock sensitive mixtures.