This article [1] has a section with several references on that, with the most used technique [2] being depicted in fig. 3 (this is from 2016 so there might be a more recent technique around now).
The basic principle is to mix a solution with lipids and one with the mRNA and pump it through a channel with herringbone-shaped incisions that generate turbulence in the fluid. Apparently, the turbulence makes lipids surround the mRNA and stick together to form the nano-particle.
So to quickly summarize they use fluid dynamics and force and whatever sticks through this process will be useful.
I wonder what the rate of lipid-surrounded mRNA is after the process. Say you fire 100 mRNAs through this construct, will 90 of them be surrounded by lipids afterwards? Or 30? Or 100?
Does these vaccines need an adjuvant to work, or is the change to the affected cells large enough to trigger an immune reaction?