Step 1. Find a shop that'll let you use their gas torch for a bit.
Step 2. Build a fixture to hold a videocamera vertically, with its lens aimed straight down, and a pane of glass right up against the lens guard.
Step 3. Paint a board with a color that'll be easy to key out in a digital video program.
Step 4. Hit a dollar store for some cheap latex balloons.
Step 5. Go to the shop with the above and fill some balloons with acetylene gas. DO NOT ADD OXYGEN!*
Step 6. Place a balloon on the board under the camera.
Step 7. Roll camera and light the balloon with something.
Step 8. Clean the glass and repeat from Step 6. until you have enough explosion footage, the shop owner kicks you out and/or the police and/or fire department have been called.

That's pretty much how it used to be done in the movie industry, until they went all digital FX. Want to shoot an effect like a missile hitting a building, with a fireball shooting out sideways? Turn a model of the building on its side and rig an acetylene charge or a small amout of gasoline at the impact point with something to light it.
Now that you have live video of dirty gas explosions, use your fave video editing software to key out the color to transparent and export a range of frames as still images.
*A 50 gallon plastic trash back of oxygen and acetylene makes a *very loud* bang when lit off with a cutting torch. Broken windows and hearing damage are possible. Do not try this... anywhere.