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How to use them is very detailed, cost of obtaining or way of crafting is completely missing though.

How have you guys done it?

In this game, your personal items (three normally) are items that you always have. Sure, they can be broken, stolen, used up during a mystery but at the start of the next mystery, you have your three items again. Your character have replaced or repaired his personal items. The items on the equipment list are all such items. Explosives are more something that are situational if it is available. It wouldn't be so good to have a player that at the start of every mystery have some dynamite.

So, it is up to you when you design/run the mystery to decide if you want to add explosives into the mystery.

Also, the equipment list are only examples. Since there is no cost for anything, only an availability, it is very easy to add things.

Yeah.... I'd kind of assume the only way to get it would be to steel it from a mining company or similar.

Not something you'd boil up in the kitchen with stuff from you local supermarket like today =)

I’ve come across the question really recently, because my players have now an Inventor as a HQ upgrade, and it grants chemicals to them.
Since one of my players knows about chemistry (as a player, not as a character, but the character is Sherlock Holmes-like and knows things as well), they asked about flammable, pitch-like semi-liquid in a flask. I allowed it, but I told them it’s not even like a hand-made grenade, it’s just flammable and will help them putting something ablaze if needed. Short version: I homebrewed a kind of “explosive” to fit the creativity of my players. It cost nothing since they had it from their Inventor.
I wonder how they mean to use it.

I wonder how they mean to use it.

.
Sounds like an eminent enhanced molotov cocktail to me...