I routinely make my own chile powder. Buy dried chiles (you can choose from a variety of different chiles and pick the 'hotness' you want). tast them in the oven first, then seed, rouighly chop and grind them in a spice grinder. Nothing beats it. I mostly use a combination of Ancho and Guajillo.
The peppers need to be nice and dry to get them through the grinding process. After you dehydrate them, you can always toast them in a 350 degree oven for about 4 minutes if they're still not dry enough. A more authentic way is to get a large cast iron skillet pretty hot, then weight them down for a few seconds until they crisp up a bit. Be careful and go slow until you develop a feel for how long they can stand. You don't want them to burn at all.
I make my own powders from commercially dried chilis all the time. If you make a big batch, store the excess in Mason jars in the fridge.