I've repeated the oldest version of this type of thing. Burning steel wool. This time I tried to catch more "sparked" spheres than "wired" spheres. To do this I suspend the wool (0000 grade) above a magnet under some paper. Sparks fell and the sphere were caught.
Revisiting this again, I used a similar setup, but this time made a little tray with white paper, then collected the spheres with a white sticky label
I noticed more small spheres. Previous I'd been heaping the collected spheres onto a glass slide, and all those round tiny spheres must have just rolled off, doh!
I also tweeted with a chemistry professor, who said the spheres were probably mostly iron, as iron oxide would be ejected as a powder.