Really not hard to do. A spice mill will really help in this. Buy an inexpensive coffee grinder and dedicate it to grinding spices. Here is the recipe from Amazing Ribs, of all places. There are many sources for this recipe, but they all seem to be about the same. Some of these spices you should be able to buy local. Enjoy!

 

 

By Meathead Goldwyn
If you want to add an Asian accent to a dish, there are three ingredients, any one of which will do the job: Hoisin sauce, sesame oil, and five spice powder. Five Spice Powder is a blend of cinnamon, cloves, fennel, star anise, and Szechwan peppercorns. Some recipes also contain ginger, nutmeg, and licorice. Adjust the recipe to suit your needs. If you don’t want to bother making your own, it is available in the spice or Asian section of better super markets. As background for this recipe, please read my article on the Science of Rubs.

Source: http://amazingribs.com/recipes/rubs_pastes_marinades_and_brines/zen_of_five_spice_powder.html
Yield: 5 T

Ingredients – Basic Recipe:
1 T Cinnamon Powder
1 T Clove Powder
1 T Fennel Seed Powder
1 T Szechwan Peppercorn Powder
1 T Star Anise Powder

Optional. Some commercial blends can’t count and add black pepper, ginger, nutmeg, and licorice. I usually add 1 teaspoon each of ginger and nutmeg.

Directions:
If you have only whole cloves, fennel seed, Szechwan peppercorns, or star anise, you can grind them in a spice grinder or a mortar and pestle. I use a coffee grinder. Whole seeds grind down to much less volume, so use about 1½ times the quantity before grinding. In other words, if you don’t have fennel seed powder, start with 1½ tablespoons of fennel seeds, and grind them to powder. You might need 2 tablespoons of star anise seeds to make 1 tablespoon of powder. You don’t have to be precise in making this blend.