I've used all sorts of ochres and other mineral pigments- usually mixed with dilute hide glue. To make these yourself, first grind up the rock as fine as you can. Next, put it in a jar with water and shake/stir. let it stand for a minute or so- this causes the big chunks to settle out. Then pour off the water into another jar. Now, you have dirty looking water in the second jar and a slurry of bigger pigment in the first jar. The dirty water in the second jar contains the most finely ground pigments. Let it stand for a day or so and the fine pigments will eventually settle out. carefully remove or evaporate the water, and what's left is pigment powder fine enough to use. Regrind the big chunks from the first jar and repeat.