To start out, I'll post info on some of the types of items that can be used in making incense, then some correspondences, and finally the actual process for making your own incense.
Gums/Resins: Freeze gums and resins (and the mortar and pestle) for about half an hour before trying to grind them. It makes the grinding process easier. Grind them in a mortar and pestle. You can also grind pre-soaked rice in it to help fill any small holes in its surface so that the gums and resins don't stick in the holes.
Woods: Sometimes it's better to buy pre-ground wood. You can get it in small chips or powdered forms. If you do want to make your own, use a hammer and chisel. Break off small pieces of the wood and then use the hammer and chisel to get them down to pellet size. Once they are that big you can finish grinding them in a coffee grinder.
Herbs, Spices, and Flowers: Most of these can easily be ground in a mortar and pestle. With things like cloves, it can be harder to grind them. Grind them in the mortar and pestle first and then run them through a grinder or mill.
Fruit: Citrus fruits can be grated and then the grated peels can be dried and used in incense. You can also dry peels by placing them on screens, wax paper, a cutting board, and so on. Turn them occasionally. Once they are dried, you can grind them in grinders or mills and then use them in incense blends.