I haven't seen anyone make this yet - it's probably the hardest thing at the moment to create in the game, but it is possible. So, here is a guide :)

For Nitroglycerin, you have to mix Nitric Acid and Glycerin, so first you need to get both of those.

• Nitric Acid - to get this, you collect Potassium Nitrate from the walls of the Limestone Caves (it's a kind of yellowish pixel) and combine it with Sulfuric Acid. This gives you Potassium Bisulfate and Nitric Acid.
  
  Formula: Potassium Nitrate Powder + Sulfuric Acid -> Potassium Bisulfate + Nitric Acid

• Glycerin - this comes from the reaction of Liquid Fat with Aqueous Lye. Lye is one of the products that comes from burning trees - collect some of that and put it in water to get the Aqueous Lye solution. For Liquid Fat, you can either drop Nuts next to Blender pixels to change them into Fat, or you can collect slime pixels by killing Slimes in the limestone caves biome and then heat up the slime - the Green Slime pixels will decompose into Liquid Fat. Solid Fat can be melted into Liquid Fat by heating it up very slightly. Once you have Liquid Fat and Aqueous Lye, mix them together and you get as outputs Glycerin and Soap.
  
  Formula: Liquid Fat + Aqueous Lye -> Glycerin + Soap

Alright, so now you've got Nitric Acid and Glycerin.

Next is the dangerous part of the process - when the Nitric Acid and Glycerin react, they increase the temperature (exothermic reaction). If the temperature increases even a few degrees, Nitroglycerin will EXPLODE!

So, if you just dump the materials together, you will definitely get a large explosion right away.

In addition, any time that a Nitroglycerin pixel falls onto a solid surface there is a 10% chance per pixel-collision that the pixel explodes. If the explosion catches other Nitroglycerin pixels near it, it'll cause a chain reaction. However, falling out of a filter, if there is a surface immediately below it, doesn't trigger the explosion chance. Also, sliding down a 45 degree ramp of pixels doesn't trigger the explosion chance.

So check out the machine above:

• the upper chamber is filled with Nitric Acid (the green liquid)
• the grey pixels in the middle of it are Blender pixels - these randomly swap the loose pixels next to them every frame, which is good for facilitating reactions - in this case, it helps the Glycerin that you can teardropper in mix with the Nitric Acid (not strictly necessary, but could be useful)
• at the bottom of the chamber there are Programmable Filter pixels, with example pixels in the spaces next to them - setting them to allow through Nitroglycerin on the left and Water on the right. The reaction creates 3x the Water pixels as Nitroglycerin pixels so getting rid of the Water is important for a machine
• the Programmable Filters output directly onto ramps - this prevents the Nitroglycerin from triggering the 10% explosion chance because going down a diagonal doesn't count as a fall, as long as there is something immediately underneath for each step.

And that's how it works! You can also just do the mixing manually if you want (doesn't need to be a machine), but be very careful eyedroppering the materials into the mix - I usually make a basin where I can move the cursor back and forth to keep any one place from getting too hot, and wait a moment between drops. If you want to make a machine for creating a lot of Nitroglycerin, you would also want to set up a Dispenser pixel triggered by a slow Oscillator to gradually drip the materials in. It may take some experimentation, but it's possible to make a device where you could just put the materials in and then let it run. :)

Final Step Formula: 1 Glycerin + 3 Nitric Acid -> 1 Nitroglycerin + 3 Water

Once you get the hang of it, it's actually not that hard to make the rockets. Good luck making Nitroglycerin!