You need a live (or dead, for some varieties, but those are rare), fairy.
Then, it depends on what type you want.
Standard Dust: This is just normal Fairy Dust. Find a fairy who's terrible at cleaning, then give them a house. You can use a variety of materials ranging from milk or eggnog to moonshine, depending on the type of Fairy, to get them out of the house. Then, you sweep/dust, etc.. Make sure enough time has gone by to get a good supply.
Necromantic Dust: Used for resurrecting things ranging from bodies to projects. You'll need a dead fairy, preferably dried. Then they should be reconstituted in Water of Life, and mummified in Natron that was harvested from a graveyard. The fairy is then ground whole.
Fell Dust: Used mostly for curses or summoning some of the nastier things out there. You'll want them to be awake*. Then, you remove their wings with a specially prepared knife (Use Alik, Niri and H'tar runes on the blade). Be sure to keep them in a binding circle, to prevent side-effects. Fairies are nasty when it comes to those. After that, you'll need to boil the wings in a Black Cauldron. After that, you'll need to dry them using stored sunlight in the dark of the moon. Then you can grind up the dried wings.
Note: It is suggested that you keep the fairy in a spherical dreamcatcher for your safety.
*Because the emotional residue is important for this one. You need the fairy dust to be infused with terror and pain for this type.