The gloves are important when handling dry ice. Leather gloves are best but thick cloth will also work. Briefly touching the ice won't harm you, but contact for more than a few seconds can cause frostbite. If you are breaking a block of dry ice into smaller pieces, be careful to keep dust away from your eyes and mouth. Gently tapping a chisel into the ice at several spots to create a "fault line" is a safe way to split a block.
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Dry ice is frozen carbon dioxide. I don't know how to make it, but you should be able to buy it cheaply at any grocery store with a sizable seafood department.
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