How can I duplicate my firework rockets in Minecraft?

Assuming you are in Creative Mode (as stated in your question), you can use the Pick Block control (defaults to middle mouse button) on the Firework Rocket item and you will get an extra 64 of it.

This doesn't only apply to Firework Rockets. You can clone any items with this key. You will get the maximum stackable number of that item (64 on most items, 16 on some others and 1 on armors/tools/etc).

Any properties (e.g. damage levels, fireworks, enchantments, potion effects, written books, etc.) will be cloned.

As of 1.5, you can use the Pick Block key (defaults to wheel/middle-mouse button) to get a stack of any item you are pointing at with your mouse cursor. Craft a single firework, put it in your inventory, then middle-click it. You'll now be holding a full stack of fireworks rockets matching the one you crafted.

In Minecraft versions before 1.5, you can exploit the behaviour of item frames to duplicate items like fireworks.

1. Enable cheats. Either make your world with the cheats option on, be an op in multiplayer, or in Singleplayer you can "Open to LAN" and enable the cheats option there. (This gives you access to the /gamemode command, which will be necessary.)
2. Switch to creative mode. Use /gamemode c.
3. Make one firework.
4. Place a lot of item frames on a wall. One for every firework rocket that you eventually want to have is ideal, but you can make do with less by simply repeating this whole process.
5. Fill the frames with rockets. Still in creative mode, right-click every item frame with your rocket. Each will now have a copy of the rocket. (Note that if you break a frame now, the frame and rocket just disappear. Not helpful!)
6. Switch to Survival mode. Use /gamemode s.
7. Collect the rockets. Break all the item frames and you'll be showered with copies of your rocket.