and molecules are made of......you guessed it (or maybe you didn't)....atoms - 2 specifically, which are electrically neutral. Although it can also apply, more loosely, to polyatomic ions.
indeed ZacM just like everything else is made of molecules which are made of atoms (and loads of space),but just as we call the atoms that are grouped together to make a table "a table", I suggest that the OP's question is more sensibly answered in the "real world" sense by saying that the sparks are, as I said little bits of steel :-)
The glittery bits are far too large to be molecules or atoms
and are sort of clumps of them - very large numbers of them
If you want to get an idea of atomic size - we were taught that oil on water - when it gets to the iridescent sheen then it is about an atom or two thick
In terms of crystal structure - once you chip off a bit, is it a molecule ?
No
it is a small crystal.
This is / was also covered in the o level chem syllabus.
Sodium chloride - common salt - does it go around as a molecule. No it is always charged Na+ Cl- so it is always wrng to call it a molecule.
Also it doesnt have a mol wt - but ionic wt same number - 58.5 g I think
Essentially what you are seeing is light from photons emitted with the settling of electrons back into the rest orbits of their atoms - http://science.howstuffworks.com/light7.htm