Thermite is a mixture of a metal powder and a metal oxide, of which aluminum and iron oxide dust is the most common and is what you would have after switching from sanding between aluminum and steel. The reaction is very exothermic, releasing huge amounts of heat, but is not explosive. Since it has its own oxygen source in the iron oxide, its very difficult to put a thermite fire out. In industry it is frequently used for things like welding railroad rails together or underwater welding. So if it were to light it would be very very bad, however its pretty unlikely that would happen. First you need to have the right ratio of aluminum to iron oxide, and second the thermite needs to get very hot before it begins to react, hotter even than a red hot spark would be. If you compare this with sawdust, which is much easier to light on fire, its not very dangerous.
That being said, I'd probably use a different, or at least switch bags when switching between aluminum and iron.
