JKR: Yeah, but I would imagine that other people, you know, other people are going to have tried. I think it would be naive not to think that people have been trying for a long time, and thought they succeeded and hadn't, or else, or else you know maim themselves or kill themselves in the attempt. It's such a dangerous thing to do.
SU: Oh. Evil thing. You know, just ...
MA: What is the process? Do you - Is there a spell? Is there a - What do you have to do?
JKR: I see it as a series of things you would have to do. So you would have to perform a spell. But you would also - I don't even know if I want to say it out loud, I know that sounds funny. But I did really think it through. There are two things that I think are too horrible, actually, to go into detail about. One of them is how Pettigrew brought Voldemort back into a rudimentary body. 'Cause I told my editor what I thought happened there, and she looked as though she was gonna vomit. And then - and the other thing is, how you make a Horcrux. And I don't even like - I don't know. Will it be in the Encyclopedia? I don't know if I can bring myself to, ummm ... I don't know.
Also from canon - at the Burrow before the trio set out:
Hermione rummaged for a moment and then extracted from the pile a large volume, bound in faded, black leather. She looked a little nauseated and held it gingerly as if it were something recently dead.
'This is the one that gives explicit instructions on how to make a Horcrux. Secrets of the Darkest Art - it's a horrible book, really awful, full of evil magic.'
'And the more I've read about them,' said Hermione, 'the more horrible they seem, and the less I can believe that he actually made six.'
Harry Potter and the Deathly Hallows - pp.88-9 - Bloomsbury - Chapter 6, The Ghoul in Pyjamas