I would agree with Greg; thermite is a pretty low-efficiency method of heat production. There are much easier ways of producing heat. Like Greg said, if you want molten iron for say, military destruction of a structure, then sure, it's probably a good way to go. But the military isn't concerned about destroying things or the safety of those around it, as they generally want to kill them anyway. So, thermite is probably best left to specialty applications.
Also, I would not light it indoors. Thermite is reported to throw sparks 16' high and 25' to the sides. I have seen 80g batches of it go off indoors, and it was in a huge auditorium. The sparks nearly hit the ceiling which was about 20' up, and it produces a tremendous amount of heat. If you trap that much heat, the ceiling may ignite even if it is not touched by sparks. Even though the university I saw the thermite done at indoors was safe as you could be about it, there is a famous video from the demonstrations when the thermite got away from them and lit the projector screen on fire. Another incident there with thermite came from an explosion caused by molten iron dripping into water, and this caused a terrific explosion (and a lawsuit). It is spectacular, but if you don't do it outdoors, you're a moron.
Thermite is an incendary and not an explosive. However, that doesn't keep the ATF from classifying it as such. According to them, anything with aluminum powder and an oxidizer is considered flash powder, which makes thermite a high explosive by their definitions. They consider a lot of things explosives that aren't technically. According to their law, sparklers are flash powder. Kind of sad, really.
Yes, the components have to be mixed well to ensure ignition.
To get a slower burn, use a less reactive fuel. More reactive fuels will go faster and may approximate an explosion. I think this is the case with some magnesium thermites. Particle size has a lot to do with it, too, as nano-aluminum thermite is very quick burning.
You do not need an external source of oxygen for thermite. This is why when you smother it with sand, it keeps burning.
Do not stick this in a closed vessel. The heat will melt through damn near anything you could put it in, and even if it didn't, it would thermally stress the vessel to the point where you have a blowout at the hot area very quickly. The hot area will be a lot weaker. Any contained gasses will be bad news. The amount of pressure depends on the amount of gas built up. If you run a 0.5g thermite reaction in a 25gallon 2000psi container, it probably won't blow up. If you run a 500g thermite reaction in a 2L 2000psi container, it will blow. Heat, pressure and closed containers are not a good thing.