I'm having difficulty doing this. I have access to things that are supposedly magma-safe, such as Alunite but when I try to build a floodgate using my Metalsmith's Forge, Alunite is not on the list of materials I can use to make it. I can't see any way to smelt it either. I think I have another few stone types that are magma safe as well, but they are not on the list either. What am I doing wrong?
The problem is that you don't make rock things at the Metalsmith's Forge. To build it out of rock, go to your Mason's Workshop and add a floodgate(l). This will only construct a general rock floodgate though. To make sure that it's made out of Alunite, you should see this question.
First see the list of magma-safe materials.
Some are metal, some are rock, so you can build magma-safe metal floodgates at a Metalsmith's Forge given the right metal. If all you have access to at the moment is magma-safe stone, then you will have to construct those at the Mason's Workshop. Unfortunately, as Ullallulloo says, controlling which stone your masons use can be tricky. Sometimes it can be easier to order many more items constructed than you need, in the hopes that some of the construction uses the material you want.
Also remember that you will need to use magma-safe mechanisms to control your floodgate.