Well ok, not rockets, but how about building simple catapults/trebuchets? Not quite as "dangerous" as a rocket, but still a lot of fun to do.
In school/high school, I built rockets, a trebuchet, and a crude coilgun. It was a blast, we learned a lot, and nobody got hurt, no property damage...but yeah, lets keep filling in those little bubbles with #2 pencil because that'll make them learn!