Hi,
I'm not a welder but a science teacher in the UK. We demonstrate the thermite reaction regularly and it is a very easy safe reaction to do.
You just need to ensure that you have properly heat resistant materials around where the reaction will proceed; we use sand.
If you wanted to make a clay or sand mold of some type that would absolutely contain a reaction large enough to produce about 4cm^2 of iron (presumably enough to weld a small joint).
I would add that it helps to add some oxygen supply such as barium oxide to ensure complete use of reactants.
